What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters*

Castelnuovo, Efrem

doi:10.1111/j.1468-0084.2012.00712.x

Cited by 5 publications

(2 citation statements)

References 70 publications

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“…Using CPI and core PCE data simultaneously to estimate the model helps us tackle the controversy between Taylor and Bernanke in a more direct way. 20 Table 7 (cf. the two rows labelled "Four obs") shows that, no matter whether we measure headline in ‡ation with PCE or CPI data, the whole posterior probability mass concentrates in the determinacy region.…”

Section: Econometric Strategy and Resultsmentioning

confidence: 99%

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Monetary policy and indeterminacy after the 2001 slump

Tchatoka

Groshenny

Haque

et al. 2017

Journal of Economic Dynamics and Control

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper estimates a New Keynesian model of the U.S. economy over the period following the 2001 slump, a period for which the adequacy of monetary policy is intensely debated. To relate to this debate, we consider three alternative empirical in ‡ation series in the estimation. When using CPI or PCE, we …nd some support for the view that the Federal Reserve's policy was extra easy and may have led to equilibrium indeterminacy. Instead, when measuring in ‡ation with core PCE, monetary policy appears to have been reasonable and su¢ ciently active to rule out indeterminacy. We then relax the assumption that in ‡ation in the model is measured by a single indicator. We re-formulate the arti…cial economy as a factor model where the theory's concept of in ‡ation is the common factor to the three empirical in ‡ation series. We …nd that CPI and PCE provide better indicators of the latent concept while core PCE is less informative. Again, this procedure cannot dismiss indeterminacy. Terms of use: Documents in EconStor mayJEL codes E32, E52, E58.

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Section: Econometric Strategy and Resultsmentioning

confidence: 99%

“…Hence, we follow Hirose's (2014) numerical solution strategy for …nding the boundary between determinacy and indeterminacy by perturbing the parameter in the monetary policy rule (see alsoJustiniano and Primiceri, 2008). 14 Canova and Ferroni (2011b) andCastelnuovo (2013) are recent applications.…”

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confidence: 99%

Monetary policy and indeterminacy after the 2001 slump

Tchatoka

Groshenny

Haque

et al. 2017

Journal of Economic Dynamics and Control

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Monetary policy shocks and Cholesky VARs: an assessment for the Euro area

Castelnuovo

2015

Empir Econ

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An estimated monetary policy VAR with 1993:IV-2008:III Euro data returns an insignificant response of inflation and a borderline significant reaction of the output gap to monetary policy shocks identified with the widely employed Cholesky restrictions. We replicate this evidence with a Monte Carlo exercise, in which the true responses of inflation and the output gap, according to an estimated DSGE model which we use as data-generating process, are negative. Consequently, insignificant macroeconomic reactions to policy shocks as documented by a smallscale Cholesky-VAR for the Euro area do not necessarily point to monetary policy neutrality. Differently, the Cholesky-VAR evidence may very well be due to false short-run zero-restrictions. A data-driven discussion on this reading of the drivers of our Cholesky-VAR impulse responses versus alternative interpretations such as omitted factors and structural breaks is proposed.We thank Robert M. Kunst (Coordinating Editor) and two anonymous referees for their useful comments and suggestions. We also thank

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Estimating DSGE models across time and frequency

Caraiani

2015

Journal of Macroeconomics

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What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters*

Cited by 5 publications

References 70 publications

Monetary policy and indeterminacy after the 2001 slump

Monetary policy and indeterminacy after the 2001 slump

Monetary policy shocks and Cholesky VARs: an assessment for the Euro area

Estimating DSGE models across time and frequency

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