The dynamic effects of monetary policy: A structural factor model approach

Mario Forni and Luca Gambetti

Journal of Monetary Economics, 2010, vol. 57, issue 2, 203-216

Abstract: A structural factor model for 112 US monthly macroeconomic series is used to study the effects of monetary policy. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. The main findings are the following. First, the maximal effect on bilateral real exchange rates is observed on impact, so that the "delayed overshooting" puzzle disappears. Second, after a contractionary shock prices fall at all horizons, so that the price puzzle is not there. Finally, monetary policy has a sizable effect on both real and nominal variables.

Keywords: Delayed; overshooting; puzzle; Monetary; policy; Price; puzzle; Structural; factor; model; Structural; VAR (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (155)

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Related works:
Working Paper: The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach (2008)
Working Paper: The dynamic e ects of monetary policy: A structural factor model approach (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:57:y:2010:i:2:p:203-216

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