Information variables for monetary policy in an estimated structural model of the euro area

• 成果类型: Article
• 署名作者: Lippi, Francesco; Neri, Stefano
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.05.014
• 发表日期: 2007
• 页码: 1256-1270
• 关键词: Monetary policy; indicator variables; DSGE models; Kalman filter

摘要

A small scale new keynesian model for the euro area is estimated with maximum likelihood under the assumptions of imperfect information and discretionary monetary policy. The estimated parametrization of this widely used dynamic stochastic model unveils the monetary authorities' objectives and the information content of two indicator variables: monetary aggregates and real unit labour costs. The results highlight a significant policy concern about interest-rate smoothing and inflation; almost no concern for output gap stabilization emerges. Regarding indicator variables, unit labour costs provide information on potential output that is helpful for stabilization policy; no useful information role emerges for monetary aggregates. (C) 2006 Elsevier B.V. All rights reserved.