| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7827 |
| DP7827 Endogenous Monetary Policy Regimes and the Great Moderation | |
| Massimiliano Marcellino; Ana Beatriz Galvao | |
| 发表日期 | 2010-05-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the model fits the data well, in particular when complemented with an estimated break around 1985 that could be associated with the re-gained credibility of the central bank. The responses of output and inflation to policy shocks change not only because of the break in 1985 but also according to the monetary policy stance: policy shocks have stronger negative effects when policy is tight. There is also evidence in favour of large changes in the volatility of the output equation, but not of inflation. A set of counterfactual experiments indicate that good policy and good luck contributed to the "great moderation", but neither of them can fully explain it. A more general variation in the model dynamics underlying the shock transmission mechanism is required. |
| 主题 | International Macroeconomics |
| 关键词 | Great moderation Impulse responses monetary policy Time-varying models |
| URL | https://cepr.org/publications/dp7827 |
| 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/536663 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Ana Beatriz Galvao. DP7827 Endogenous Monetary Policy Regimes and the Great Moderation. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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