Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/140973
Type: | Working paper |
Title: | Revisiting the macroeconomic effects of monetary policy shocks* |
Other Titles: | Revisiting the macroeconomic effects of monetary policy shocks |
Author: | Doko Tchatoka, F. Haque, Q. |
Publisher: | Centre for Applied Macroeconomic Analysis, Australian National University |
Issue Date: | 2021 |
Series/Report no.: | CAMA Working Paper; 61/2021 |
ISSN: | 2206-0332 |
Statement of Responsibility: | Firmin Doko Tchatoka, Qazi Haque |
Abstract: | We shed new light on the effects of monetary policy shocks in the US. Gertler and Karadi (2015) suggest that movements in credit costs may result in substantial impact of monetary policy shocks on economic activity. Using the proxy SVAR framework, we show that once the Volcker disin ation period is left out and one focuses on the post-1984 period, monetary policy shocks have no significant effects on output, despite large movements in credit costs. Our finding is robust to weak identification and alternative measure of economic activity. |
Keywords: | Monetary policy shocks Output Dynamics Proxy-SVAR Weak identification |
Description: | July 2, 2021 |
Rights: | Copyright status unknown |
Grant ID: | http://purl.org/au-research/grants/arc/DP200101498 |
Published version: | https://cama.crawford.anu.edu.au/publication/cama-working-paper-series/18999/revisiting-macroeconomic-effects-monetary-policy-shocks |
Appears in Collections: | Research Outputs |
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