European Business Schools Librarian's Group
Department of Economics Working Papers,
Vienna University of Economics and Business, Department of Economics
New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks
Elizaveta Lukmanova () and Katrin Rabitsch ()
Additional contact information
Elizaveta Lukmanova: KU Leuven, Faculty of Economics and Business, Department of Economics
Katrin Rabitsch: Department of Economics, Vienna University of Economics and Business
Abstract: We augment a standard monetary VAR on output growth, inflation and the nominal interest rate with the central bank's inflation target, which we estimate from a New Keynesian DSGE model. Inflation target shocks give rise to a simultaneous increase in inflation and the nominal interest rate in the short run, at no output expense, which stands at the center of an active current debate on the Neo-Fisher effect. In addition, accounting for persistent monetary policy changes reflected in inflation target changes improves identification of a standard temporary nominal interest rate shock in that it strongly alleviates the price puzzle.
Keywords: Monetary policy, Neo-Fisher effect, Time-varying inflation target, DSGE, VAR
JEL-codes: E12; E31; E52; E58 November 2018
Note: PDF Document
Full text files
wp274.pdf
Report problems with accessing this service to Sune Karlsson ().
This page generated on 2024-04-23 04:36:00.