Arbeitspapier
When did unsystematic monetary policy have an effect on inflation?
An important stylized fact to emerge from the VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump shaped effect on inflation. I argue that this empirical pattern is fragile. In particular it disappears when one corrects for the effects of large shifts (breaks) in average inflation or examines periods without such shifts (such as the 1984-2004 period). An important consequence is that the hump shaped VAR estimated response of inflation is not appropriate to fit stylised models of the response of inflation around a stable steady state inflation level.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 559
- Classification
-
Wirtschaft
Monetary Policy
- Subject
-
Inflation Dynamics
Monetary policy transmission
VARs
Geldpolitik
Schock
Geldpolitische Transmission
Inflation
VAR-Modell
Theorie
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Mojon, Benoît
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the 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
- Mojon, Benoît
- European Central Bank (ECB)
Time of origin
- 2005
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