The dynamic effects of monetary policy: A structural factor model approach

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca
• 署名单位: Universita di Modena e Reggio Emilia; Autonomous University of Barcelona
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.11.009
• 发表日期: 2010
• 页码: 203-216
• 关键词: Delayed overshooting puzzle; monetary policy; Price puzzle; Structural factor model; structural VAR

摘要

A structural factor model for 112 US monthly macroeconomic series is used to study the effects of monetary policy. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. The main findings are the following. First, the maximal effect oil bilateral real exchange rates is observed on impact, so that the delayed overshooting puzzle disappears. Second, after a contractionary shock prices fall at all horizons, so that the price Puzzle is not there. Finally, monetary policy has a sizable effect on both real and nominal variables (C) 2009 Elsevier B.V. All rights reserved.