Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model

Rabanal, Pau

doi:10.1016/j.jedc.2006.01.008

Cited by 98 publications

(80 citation statements)

References 43 publications

(42 reference statements)

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“…15 This puzzle is common in structural VARs and some suggest that this may be due to the cost channel of monetary policy (Chowdhury et al (2006) and Ravenna and Walsh (2006)). However, Rabanal (2007) and Castelnuovo (2012) argue that it is unlikely that the cost channel dominates the demand channel after a monetary policy shock in a New Keynesian framework. Further Carlstrom et al (2009) show that standard Choleski assumptions may severely distort the impulse response function and produce a price puzzle, even though this is not the case in the data generating process.…”

Section: The Impulse Responsesmentioning

confidence: 99%

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

Robstad¹

2017

Empir Econ

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Section: The Impulse Responsesmentioning

confidence: 99%

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

Robstad¹

2017

Empir Econ

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“…Their calibration implies that only 51% of wage payments must be held in money. Rabanal (2007), whose main goal is to assess the importance of the cost channel in monetary policy, estimates the wage-in-advance parameter in the U.S. equal to 0.15. For developing countries, Neumeyer and Perri (2005) assume equal to 1; while Uribe and Yue (2006) …nd that a value of greater than 1 is needed to for their model to match the empirical impulse responses of several macroeconomic aggregates.…”

mentioning

confidence: 99%

“…Given the great uncertainty in the literature associated with this parameter, we proceed as follows. We use the value for equal to 0.15, as estimated by Rabanal (2007), and we …x this value to be the same for both developed and developing countries. We then investigate the sensitivity of our quantitative results with respect to this parameter.…”

mentioning

confidence: 99%

The Exchange Rate Response to Monetary Policy Innovations

Hnatkovska

Lahiri

Végh

2016

American Economic Journal: Macroeconomics

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We present a new data fact: in response to a monetary tightening, the nominal exchange tends to appreciate in developed countries but depreciate in developing countries. A model is formalized to rationalize this contrasting pattern. It has three key channels of monetary transmission: a liquidity demand channel, a …scal channel and an output channel. These have o¤setting e¤ects on the exchange rate.The paper shows that a calibrated version of the model can explain the contrast between developed and developing countries. Using counterfactual experiments we identify di¤erences in the liquidity demand e¤ect as being key to the contrasting responses generated by the model. Finally, the paper provides independent evidence of systematic variation between appreciating and depreciating countries in the strength of the liquidity demand e¤ect.JEL Classi…cation: F3, F4

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“…Their calibration implies that only 51% of wage payments must be held in money. Rabanal (2007), whose main goal is to assess the importance of the cost channel in monetary policy, estimates the wage-in-advance parameter in the U.S. equal to 0.15. For developing countries, Neumeyer and Perri (2005) assume equal to 1; while Uribe and Yue (2006), …nd that a value of greater than 1 is needed to match the empirical impulse responses of several macroeconomic aggregates with their counterparts in their model.…”

mentioning

confidence: 99%

“…We use the value for equal to 0.15, as estimated by Rabanal (2007), and we …x this value to be the same for both developed and developing countries. We then investigate the sensitivity of our quantitative results with respect to this parameter.…”

mentioning

confidence: 99%