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TFP persistence and monetary policy
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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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WRAP_Pancrazi_TFPPersistence.pdf - Draft Version Download (664Kb) | Preview |
Official URL: http://www.aeaweb.org/aea/2012conference/program/r...
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) | ||||
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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: |
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Number of Pages: | 62 | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access | ||||
Description: | Preliminary and incomplete draft |
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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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