TY - UNPB
T1 - New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks
AU - Lukmanova, Elizaveta
AU - Rabitsch-Schilcher, Katrin
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
UR - https://www.wu.ac.at/economics/forschung/wp/
U2 - 10.57938/77ad63f2-7824-4936-8a04-bcee1adccf46
DO - 10.57938/77ad63f2-7824-4936-8a04-bcee1adccf46
M3 - WU Working Paper
T3 - Department of Economics Working Paper Series
BT - New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks
ER -