Pancrazi, Roberto and Vukotić, Marija (2011) TFP persistence and monetary policy. In: American Economics Association Annual Meeting, Chicago, Illinois, 6 Jan, 2012

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Abstract

In this paper, by using several statistical tools, we provide evidence of an increase in the persistence of the U.S. total factor productivity. In a forward looking model, agents' optimal behavior depends on the autocorrelation structure of the exogenous shocks. Since many monetary models are driven by exogenous TFP shocks, we study the interaction between monetary policy and TFP persistence. Considering a New-Keynesian model, first, we analytically derive the interaction between the TFP persistence, monetary policy parameters, and output gap and inflation. Second, we show that TFP persistence affects the optimal behavior of the monetary policy.

Item Type:	Conference Item (Paper)
Alternative Title:	Total factor productivity persistence and monetary policy
Subjects:	H Social Sciences > HC Economic History and Conditions
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Industrial productivity -- United States, Industrial productivity -- Econometric models, Monetary policy -- United States
Official Date:	September 2011
Dates:	Date Event September 2011 Completion
Number of Pages:	62
Status:	Not Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
Description:	Preliminary and incomplete draft
Conference Paper Type:	Paper
Title of Event:	American Economics Association Annual Meeting
Type of Event:	Conference
Location of Event:	Chicago, Illinois
Date(s) of Event:	6 Jan, 2012

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