Arbeitspapier
Optimal monetary policy responses and welfare analysis within the highfrequency New-Keynesian framework
In this we investigate the welfare effects of optimal monetary policy measurements within a high-frequency New-Keynesian model i.e. under variation of the period length. Our results indicate that the policy maker faces a higher welfare loss on a higher relative to a lower frequency of the agents' decision making. While overall inertia in the model increases, we show that the more the pass-through of output gap movements into inflation rate dynamics is dampened on a higher frequency, this amplifies the trade-off of the central bank in case of a cost-push shock. This is caused by the impact of so-called frequency-dependent persistence effects, which mimic the impact of the increase in the amount of market days on the dynamics of the model. This result is less severe in the optimal monetary policy regime under Commitment because of a time-invariant history dependence effect with respect to the period length.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Working Paper ; No. 2014-03
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
Business Fluctuations; Cycles
Monetary Policy
- Subject
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Hybrid New-Keynesian model
high-frequency modelling
optimal monetary policy
frequency-dependent persistence
- Event
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Geistige Schöpfung
- (who)
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Sacht, Stephen
- Event
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Veröffentlichung
- (who)
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Kiel University, Department of Economics
- (where)
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Kiel
- (when)
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2014
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sacht, Stephen
- Kiel University, Department of Economics
Time of origin
- 2014
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