What does a monetary policy shock do? An international analysis with multiple filters

Efrem Castelnuovo

No 145, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: What does a monetary policy shock do? We answer this question by estimating a new-Keynesian monetary policy DSGE model for a number of economies with a variety of empirical proxies of the business cycle. The effects of two different policy shocks, an unexpected interest rate hike conditional on a constant inflation target and an unpredicted drift in the inflation target, are scrutinized. Filter-specific Bayesian impulse responses are contrasted with those obtained by combining multiple business cycle indicators. Our results document the substantial uncertainty surrounding the estimated effects of these two policy shocks across a number of countries.

Keywords: Multiple filtering; business cycle proxies; new-Keynesian business cycle model; trend inflation; monetary policy shocks. (search for similar items in EconPapers)
JEL-codes: C32 E32 E37 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2012-05
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0145

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