What are the effects of monetary policy on output? Results from an agnostic identification procedure

• 成果类型: Article
• 署名作者: Uhlig, H
• 署名单位: Humboldt University of Berlin; Tilburg University; Deutsche Bundesbank; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.05.007
• 发表日期: 2005
• 页码: 381-419
• 关键词: vector autoregression; monetary policy shocks; identification; monetary neutrality

摘要

This paper proposes to estimate the effects of monetary policy shocks by a new agnostic method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock. No restrictions are imposed on the response of real GDP to answer the key question in the title. I find that contractionary monetary policy shocks have no clear effect on real GDP, even though prices move only gradually in response to a monetary policy shock. Neutrality of monetary policy shocks is not inconsistent with the data. (c) 2005 Elsevier B.V. All rights reserved.