Arbeitspapier
Stochastic discounting and the transmission of money supply shocks
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.
- Language
-
Englisch
- ISBN
-
978-92-899-3279-0
- Bibliographic citation
-
Series: ECB Working Paper ; No. 2174
- Classification
-
Wirtschaft
Price Level; Inflation; Deflation
Financial Markets and the Macroeconomy
Central Banks and Their Policies
- Subject
-
Bond premium puzzle
financial frictions
time-varying risk aversion
euro zone economy
- Event
-
Geistige Schöpfung
- (who)
-
Jaccard, Ivan
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2018
- DOI
-
doi:10.2866/81461
- Handle
- Last update
-
20.09.2024, 8:22 AM CEST
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
- Jaccard, Ivan
- European Central Bank (ECB)
Time of origin
- 2018