Reconsidering the role of money for output, prices and interest rates

• 成果类型: Article
• 署名作者: Favara, Giovanni; Giordani, Paolo
• 署名单位: University of Lausanne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.01.002
• 发表日期: 2009
• 页码: 419-430
• 关键词: New Keynesian models; LM shocks; VaR; Block-exogeneity

摘要

New Keynesian models of monetary policy downplay the role of monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. This paper evaluates the empirical validity of this prediction by studying the effects of shocks to monetary aggregates using a vector autoregression (VAR). Shocks to monetary aggregates are identified by the restrictions suggested by New Keynesian monetary models. Contrary to the theoretical predictions, shocks to broad monetary aggregates have substantial and persistent effects on output, prices and interest rates. (C) 2009 Elsevier B.V. All rights reserved.