The transmission of monetary policy shocks

Silvia Miranda-Agrippino and Giovanni Ricco ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Despite years of research, there is still uncertainty around the effects of monetary policy shocks. We reassess the empirical evidence by combining a new identification that accounts for informational rigidities, with a flexible econometric method robust to misspecifications that bridges between VARs and Local Projections. We show that most of the lack of robustness of the results in the extant literature is due to compounding unrealistic assumptions of full information with the use of severely misspecified models. Using our novel methodology, we find that a monetary tightening is unequivocally contractionary, with no evidence of either price or output puzzles.

Keywords: Monetary Policy; Local Projections; VARs; Expectations; Information Rigidity; Survey Forecasts; External instruments.international Önancial markets; International transfers; Optimal currency area (search for similar items in EconPapers)
JEL-codes: C32 E52 G14 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2017-02-28
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (64)

Downloads: (external link)
http://eprints.lse.ac.uk/86163/ Open access version. (application/pdf)

Related works:
Journal Article: The Transmission of Monetary Policy Shocks (2021)
Working Paper: The Transmission of Monetary Policy Shocks (2018)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:86163

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