Stochastic discounting and the transmission of money supply shocks

Arbeitspapier

This paper studies the effects of money supply shocks in a general equilibrium model that reproduces a term premium of the magnitude observed in the data. In an environment where financial frictions are the main source of monetary non-neutrality, I find that money supply shocks are less effective at stimulating inflation in recessions than in expansions. In terms of quantitative magnitude, the impact effect on inflation of a money supply shock is about half as large during recessions than during booms. This state dependence is essentially due to the time-variation in stochastic discounting that is needed to match the data.

Angaben zum Objekt

• Sprache: Englisch
• ISBN: 978-92-899-3279-0

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2174

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Price Level; Inflation; Deflation ; Financial Markets and the Macroeconomy ; Central Banks and Their Policies
• Thema: Bond premium puzzle ; financial frictions ; time-varying risk aversion ; euro zone economy

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Jaccard, Ivan
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2018

Weitere Informationen

• DOI: doi:10.2866/81461
• Handle: http://hdl.handle.net/10419/183356
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ