Are the Effects of Monetary Policy Shocks Big or Small?

Olivier Coibion

American Economic Journal: Macroeconomics, 2012, vol. 4, issue 2, 1-32

Abstract: This paper studies the small estimated effects of monetary policy shocks from standard VARs versus the large effects from the Romer and Romer (2004) approach. The differences are driven by three factors: the different contractionary impetus, the period of reserves targeting, and lag length selection. Accounting for these factors, the real effects of policy shocks are consistent across approaches and most likely medium. Alternative monetary policy shock measures from estimated Taylor rules also yield medium-sized real effects and indicate that the historical contribution of monetary policy shocks to real fluctuations has been significant, particularly during the 1970s and early 1980s. (JEL E32, E43, E52)

JEL-codes: E32 E43 E52 (search for similar items in EconPapers)
Date: 2012
Note: DOI: 10.1257/mac.4.2.1
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Citations: View citations in EconPapers (254)

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Related works:
Working Paper: Are the effects of monetary policy shocks big or small? (2011)
Working Paper: Are the Effects of Monetary Policy Shocks Big or Small? (2011)
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