EconPapers    
Economics at your fingertips  
 

Identifying Monetary Policy Shocks Using the Central Bank's Information Set

Ruediger Bachmann, Isabel Gödl-Hanisch and Eric Sims ()

No 29572, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Date: 2021-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cwa, nep-dge, nep-mac and nep-mon
Note: ME
References: Add references at CitEc
Citations:

Published as Rüdiger Bachmann & Isabel Gödl-Hanisch & Eric R. Sims, 2022. "Identifying monetary policy shocks using the central bank’s information set," Journal of Economic Dynamics and Control, vol 145.

Downloads: (external link)
http://www.nber.org/papers/w29572.pdf (application/pdf)

Related works:
Journal Article: Identifying monetary policy shocks using the central bank’s information set (2022) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:29572

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w29572

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-31
Handle: RePEc:nbr:nberwo:29572