Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle

Efrem Castelnuovo

No 103, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: We assess the time-varying money's role in the post-WWII U.S. business cycle by estimating a new-Keynesian framework featuring nonseparability in real balances and consumption, portfolio adjustment costs, and a systematic reaction of policymakers to money growth. Rolling-window Bayesian estimations a la Canova (2009) are contrasted to a full sample fixed-coefficient investigation. Our results suggest that the assumption of stable parameters is unwarranted. The omission of money may induce biased assessments on the impact of structural shocks to the U.S. macroeconomic aggregates, especially during the great inflation period.

JEL-codes: E31 E51 E52 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2009-11
New Economics Papers: this item is included in nep-cba, nep-his, nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0103

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