| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29572 |
| 来源ID | Working Paper 29572 |
| Identifying Monetary Policy Shocks Using the Central Bank's Information Set | |
| Ruediger Bachmann; Isabel Gödl-Hanisch; Eric R. Sims | |
| 发表日期 | 2021-12-20 |
| 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 | Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w29572 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587246 |
| 推荐引用方式 GB/T 7714 | Ruediger Bachmann,Isabel Gödl-Hanisch,Eric R. Sims. Identifying Monetary Policy Shocks Using the Central Bank's Information Set. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29572.pdf（466KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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