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The transmission of monetary policy shocks
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Miranda-Agrippino, Silvia and Ricco, Giovanni (2021) The transmission of monetary policy shocks. American Economic Journal: Macroeconomics, 13 (3). pp. 74-107. doi:10.1257/mac.20180124 ISSN 1945-7707.
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Official URL: https://doi.org/10.1257/mac.20180124
Abstract
Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions, as well as of asset prices and agents' expectations.
Item Type: | Journal Article | |||||||||
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Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software |
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Divisions: | Faculty of Social Sciences > Economics | |||||||||
Library of Congress Subject Headings (LCSH): | Monetary policy, Financial crises -- Effect of monetary policy on, Regression analysis | |||||||||
Journal or Publication Title: | American Economic Journal: Macroeconomics | |||||||||
Publisher: | American Economic Association | |||||||||
ISSN: | 1945-7707 | |||||||||
Official Date: | July 2021 | |||||||||
Dates: |
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Volume: | 13 | |||||||||
Number: | 3 | |||||||||
Page Range: | pp. 74-107 | |||||||||
DOI: | 10.1257/mac.20180124 | |||||||||
Status: | Peer Reviewed | |||||||||
Publication Status: | Published | |||||||||
Reuse Statement (publisher, data, author rights): | Copyright © 1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2019 by the American Economic Association. Permission to make digital or hard copies of part or all of American Economic Association publications for personal or classroom use is granted without fee provided that copies are not distributed for profit or direct commercial advantage and that copies show this notice on the first page or initial screen of a display along with the full citation, including the name of the author. Copyrights for components of this work owned by others than AEA must be honored. Abstracting with credit is permitted. The author has the right to republish, post on servers, redistribute to lists and use any component of this work in other works. For others to do so requires prior specific permission and/or a fee. Permissions may be requested from the American Economic Association Administrative Office by going to the Contact Us form and choosing "Copyright/Permissions Request" from the menu. | |||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||
Copyright Holders: | Copyright © 2019 by the American Economic Association | |||||||||
Date of first compliant deposit: | 3 January 2020 | |||||||||
Date of first compliant Open Access: | 3 January 2020 | |||||||||
RIOXX Funder/Project Grant: |
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