Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle

Oleg Korenok () and Stanislav I. Radchenko ()

Abstract: The paper analyzes two questions: (i) the effect of a monetary policy shock on the business cycle and (ii) the extent to which a shift in a monetary policy affects the dynamics of business cycle. Unlike previous literature, to answer these questions, we measure cycle movements by calculating an index from a number of aggregate macroeconomic series via a dynamic factor model. We find that monetary policy shocks have a small but significant impact on persistent and transitory parts of the cycle. A systematic shift of monetary policy has a modest effect.

Keywords: monetary policy; business cycle; dynamic factor model; index of coincident economic indicators. (search for similar items in EconPapers)
JEL-codes: E32 E52 C43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
Date: Written 2004-09-18
Note: Type of Document - pdf; pages: 45

Downloads: (external link)
http://129.3.20.41/eps/mac/papers/0409/0409015.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Macroeconomics from EconWPA
Series data maintained by EconWPA ().