G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7561
DP7561 International Competition and Inflation: A New Keynesian Perspective
J David López-Salido; Christopher Gust; Luca Guerrieri
发表日期2009-11-15
出版年2009
语种英语
摘要The paper shows that US GDP velocity of M1 money has exhibited long cycles around a 1.25% per year upward trend, during the 1919-2004 period. It explains the velocity cycles through shocks constructed from a DSGE model and annual time series data (Ingram et al., 1994). Model velocity is stable along the balanced growth path, which features endogenous growth and decentralized banking that produces exchange credit. Positive shocks to credit productivity and money supply increase velocity, as money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during the 1930s and the 1987 crashes, and again around 2003, results suggest that the money and credit shocks appear to be more important for velocity during less stable times and the goods productivity shock more important during stable times.
主题International Macroeconomics
关键词Volatility Business cycle Credit shocks Velocity
URLhttps://cepr.org/publications/dp7561
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536397
推荐引用方式
GB/T 7714
J David López-Salido,Christopher Gust,Luca Guerrieri. DP7561 International Competition and Inflation: A New Keynesian Perspective. 2009.
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