| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16836 |
| DP16836 Identifying Monetary Policy Shocks Using the Central Bank’s Information Set | |
| Ruediger Bachmann; Eric Sims; Isabel Goedl Hanisch | |
| 发表日期 | 2021-12-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We identify monetary policy shocks by exploiting variation in the central bank’s information set. To be specific, we use differences between nowcasts of the output gap and inflation with final, revised estimates of these series to isolate movements in the policy rate unrelated to economic conditions. We then compute the effects of a monetary policy shock on the aggregate economy using local projection methods. We find that a contractionary monetary policy shock has a limited negative effect on output but a persistent negative impact on prices. In contrast to alternative identification approaches, we do not observe a price puzzle when analyzing the period from 1987 to 2008. Further, we validate the identification approach in a simple New Keynesian model, augmented by the assumption that the central bank observes the ingredients of the Taylor rule with error. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Identification Nowcasts Monetary policy shocks Local projections |
| URL | https://cepr.org/publications/dp16836 |
| 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/545761 |
| 推荐引用方式 GB/T 7714 | Ruediger Bachmann,Eric Sims,Isabel Goedl Hanisch. DP16836 Identifying Monetary Policy Shocks Using the Central Bank’s Information Set. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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