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

Oleg Korenok and Stanislav Radchenko ()

Macroeconomics from University Library of Munich, Germany

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: C43 E32 E52 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2004-09-18, Revised 2004-09-20
New Economics Papers: this item is included in nep-mac and nep-mon
Note: Type of Document - pdf; pages: 45
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0409015

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