The timing of monetary policy shocks

• 成果类型: Article
• 署名作者: Olivei, Giovanni; Tenreyro, Silvana
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; University of London; London School Economics & Political Science
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.97.3.636
• 发表日期: 2007
• 页码: 636-663
• 关键词: dynamics

摘要

A vast empirical literature has documented delayed and persistent effects of monetary policy shocks on output. We show that this finding results from the aggregation of output impulse responses that differ sharply depending on the timing of the shock. When the monetary policy shock takes place in the first two quarters of the year, the response of output is quick, sizable, and dies out at a relatively fast pace. In contrast, output responds very little when the shock takes place in the third or fourth quarter. We propose a potential explanation for the differential responses based on uneven staggering of wage contracts across quarters. Using a dynamic general equilibrium model, we show that a realistic amount of uneven staggering can generate differences in output responses quantitatively similar to those found in the data.