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The transmission of monetary policy shocks
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Miranda-Agrippino, Silvia and Ricco, Giovanni (2017) The transmission of monetary policy shocks. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1136).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
Despite years of research, there is still uncertainty around the effects of monetary policy shocks. We reassess the empirical evidence by combining a new identification that accounts for informational rigidities, with a exible econometric method robust to misspecications that bridges between VARs and Local Projections. We show that most of the lack of robustness of the results in the extant literature is due to compounding unrealistic assumptions of full information with the use of severely misspecied models. Using our novel methodology, we find that a monetary tightening is unequivocally contractionary, with no evidence of either price or output puzzles.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Monetary policy, Banks and banking, Central, Econometric models | ||||
Series Name: | Warwick economics research papers series (WERPS) | ||||
Publisher: | University of Warwick. Department of Economics | ||||
Place of Publication: | Coventry | ||||
ISSN: | 0083-7350 | ||||
Official Date: | March 2017 | ||||
Dates: |
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Number: | 1136 | ||||
Number of Pages: | 67 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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