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Inflation sensitivity to monetary policy : what has changed since the early 1980s
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Vukotić, Marija and Pancrazi, Roberto (2019) Inflation sensitivity to monetary policy : what has changed since the early 1980s. Oxford Bulletin of Economics and Statistics, 81 (2). pp. 412-436. doi:10.1111/obes.12272 ISSN 0305-9049.
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Official URL: https://doi.org/10.1111/obes.12272
Abstract
Have conventional monetary policy instruments maintained the same ability to accommodate undesirable effects of shocks throughout the postwar period? Or has the changed economic environment characterizing the last 30 years diminished the sensitivity of macroeconomic volatility to systematic changes in the conduct of monetary policy? The answer is no to the first question and, consequently, yes to the second question. We estimate a medium‐scale New‐Keynesian model in two subsamples, 1955–79 and 1984–2012, and find that the sensitivity of inflation variance to changes in conventional monetary policy has declined. We document that the changed properties of the labour market largely contributed to this decline.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Economics | ||||||||
Library of Congress Subject Headings (LCSH): | Monetary policy -- History, Monetary policy -- Mathematical models, Keynesian economics, Macroeconomics, Labor market, Inflation (Finance) | ||||||||
Journal or Publication Title: | Oxford Bulletin of Economics and Statistics | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
ISSN: | 0305-9049 | ||||||||
Official Date: | April 2019 | ||||||||
Dates: |
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Volume: | 81 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 412-436 | ||||||||
DOI: | 10.1111/obes.12272 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article: "Pancrazi, R. and Vukotić, M. (2019), Inflation Sensitivity To Monetary Policy: What Has Changed since the Early 1980s?. Oxf Bull Econ Stat. which has been published in final form at https://doi.org/10.1111/obes.12272. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 28 September 2018 | ||||||||
Date of first compliant Open Access: | 30 October 2020 | ||||||||
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