Monetary disturbances matter for business fluctuations in the G-7

• 成果类型: Article
• 署名作者: Canova, F; De Nicoló, G
• 署名单位: Pompeu Fabra University; University of Southampton; Centre for Economic Policy Research - UK; International Monetary Fund
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00145-9
• 发表日期: 2002
• 页码: 1131-1159
• 关键词: structural shocks; business cycles; monetary disturbances; dynamic correlations

摘要

This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross-correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that identified monetary shocks have reasonable properties; that they significantly contribute to output and inflation cycles in all G-7 countries; that they contain an important policy component, and that their impact is time varying. (C) 2002 Elsevier Science B.V. All rights reserved.