The Barnett critique after three decades: A New Keynesian analysis

Belongia, Michael T.; Ireland, Peter N.

doi:10.1016/j.jeconom.2014.06.006

Cited by 81 publications

(65 citation statements)

References 41 publications

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“…Kelly et al (2011) suggest that official monetary aggregates, at least in the United States, use an aggregation methodology that is increasingly incorrect as the aggregate becomes broader. Belongia and Ireland (2014) show that a Divisia aggregate of monetary services tracks the true monetary aggregate almost perfectly, whereas a simple-sum measure often behaves quite differently in the United States [the so-called Barnett (1980) critique; see also Hendrickson (2014)]. As they are not published by the European Central Bank, these types of monetary aggregates cannot be used in our paper.…”

Section: Notesmentioning

confidence: 99%

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Benchimol¹,

Fourçans

2016

Macroecon. Dynam.

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This paper analyzes the role of money and monetary policy as well as the forecasting performance of New Keynesian dynamic stochastic general equilibrium models with and without separability between consumption and money. The study is conducted over three crisis periods in the Eurozone, namely, the ERM crisis, the dot-com crisis, and the global financial crisis (GFC). The results of successive Bayesian estimations demonstrate that during these crises, the nonseparable model generally provides better out-of-sample output forecasts than the baseline model. We also demonstrate that money shocks have some impact on output variations during crises, especially in the case of the GFC. Furthermore, the response of output to a money shock is more persistent during the GFC than during the other crises. The impact of monetary policy also changes during crises. Insofar as the GFC is concerned, this impact increases at the beginning of the crisis, but decreases sharply thereafter.

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Section: Notesmentioning

confidence: 99%

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Benchimol¹,

Fourçans

2016

Macroecon. Dynam.

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“…All of the coefficient estimates in panel B of Table 9 In contrast to the results that follow from the triangular identification scheme, those generated by our preferred structural VAR attribute, in panel B of Table 10, 1967-1983, 1984-1999, and 2000-2013, considered in both our reduced-form and structural analyses here poses yet another major challenge for theoretical modeling. Intriguingly, Havranek and Rusnek's (2013) Sustek (2010), Belongia and Ireland (2014), and Ireland (2014) 2. It should be noted that early attempts to re-introduce nominal variables and monetary nonneutralities into the real business cycle framework, including those by Cho and Cooley (1995), Cooley and Hansen (1995), and King and Watson (1996), did describe monetary policy through its effects on money growth; these specifications, however, were largely supplanted by others that depict the central bank as managing a short-term interest rate according to some variant of the rule.…”

Section: Recent Subsample: 2000 -2013mentioning

confidence: 99%

“…Belongia and Ireland (2014) and Ireland (2014) incorporate this "monetary system" in dynamic, stochastic, general equilibrium models to show how an increase in the federal funds rate gets passed along to consumers of monetary services in the form of a higher user cost; equation (12) Subsample: 1967Subsample: -1983 (7) and (8) from the triangular model and the "interest rate-money" policy, money demand curve, and the monetary system relation from our preferred specification from equations (9) Thus, to the extent that the different specifications imply different estimates of the volatility parameter 44…”

Section: Toward a More Complete Model Of Money And The Business Cyclementioning

confidence: 99%

Money and Output: Friedman and Schwartz Revisited

Belongia¹,

Ireland²

2015

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More than fifty years ago, Friedman and Schwartz examined historical data for the United States and found evidence of pro-cyclical movements in the money stock, which led corresponding movements in output. We find similar correlations in more recent data; these appear most clearly when Divisia monetary aggregates are used in place of the Federal Reserve's official, simple-sum measures. When we use information in Divisia money to estimate a structural vector autoregression, identified monetary policy shocks appear to have large and persistent effects on output and prices, with a lag that has lengthened considerably since the early 1980s.

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“…At equilibrium, these assets also di¤er in terms of the opportunity costs (or user costs) that households and …rms incur when demanding those liquidity services. Because the necessary condition for simple-sum aggregation is that all component assets be perfect substitutes (Belongia and Ireland, 2014), simple-sum aggregates are not used in our study.…”

Section: Introductionmentioning

confidence: 99%

Money and monetary policy in Israel during the last decade

Benchimol¹

2016

Journal of Policy Modeling

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This study examines how money and monetary policy have in‡uenced output and in ‡ation during the past decade in Israel by comparing two New Keynesian DSGE models. One is a baseline separable model (Galí, 2008) and the other assumes non-separable household preferences between consumption and money (Benchimol and Fourçans, 2012). We test both models by using rolling window Bayesian estimations over the last decade (2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013). The results of the presented dynamic analysis show that the sensitivity of output with respect to money shocks increased during the Dot-com, Intifada, and Subprime crises. The role of monetary policy increased during these crises, especially with regard to in ‡ation, even though the effectiveness of conventional monetary policy decreased during the Subprime crisis. In addition, the non-separable model including money provides lower forecast errors than the baseline separable model without money, while the in ‡uence of money on output ‡uctuations can be seen as a good predictive indicator of bank and debt risks. By impacting and monitoring households'money holdings, policy makers could improve their forecasts and crisis management through models considering monetary aggregates.

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The Barnett critique after three decades: A New Keynesian analysis

Cited by 81 publications

References 41 publications

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Money and Output: Friedman and Schwartz Revisited

Money and monetary policy in Israel during the last decade

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