Habit formation and the persistence of monetary shocks

• 成果类型: Article
• 署名作者: Bouakez, H; Cardia, E; Ruge-Murcia, FJ
• 署名单位: Universite de Montreal; Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.009
• 发表日期: 2005
• 页码: 1073-1088
• 关键词: habit formation; endogenous persistence; monetary policy

摘要

The dynamic effects and relative importance of monetary shocks in the US business cycle are studied using a sticky-price dynamic stochastic general equilibrium model with habit formation and capital adjustment costs. The model is estimated via maximum likelihood using data on output, real money balances, and the nominal interest rate. Econometric results indicate that the model has a strong internal propagation mechanism that can explain the persistent and hump-shaped response of US output and consumption to monetary shocks. (c) 2005 Elsevier B.V. All rights reserved.