What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries

Arbeitspapier

Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these variables from the monetary authority's information set. This paper relaxes these incredible restrictions by exploiting a convenient natural setting, namely the fact that we can use data from dollarized countries. The fact that non-monetary US shocks do not seem to be transmitted to these countries, has the additional advantage that it makes the exercise less vulnerable to potential misidentification of the US monetary policy shock. The results obtained in this way suggest that prices fall quite rapidly after a monetary contraction. Consistent with this finding, the effects of monetary policy shocks on output seem to be small.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 10-099/2

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Price Level; Inflation; Deflation ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Monetary policy effects ; Price puzzle ; Structural VARs ; Identification ; Block exogeneity ; Geldpolitik ; USA ; Schock ; Makroökonomischer Einfluss ; Währungssubstitution ; VAR-Modell ; Panama ; El Salvador ; Ecuador

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Willems, Tim
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/86942
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ