A structural factor model for 112 US monthly macroeconomic series is used tostudy the effects of monetary policy. Monetary policy shocks are identified usinga standard recursive scheme, in which the impact effects on both industrial productionand prices are zero. The main findings are the following. (i) The maximaleffect on bilateral real exchange rates is observed on impact, so that the “delayedovershooting” puzzle disappears. (ii) After a contractionary shock prices fall at allhorizons, so that the price puzzle is not there. (iii) Monetary policy has a sizableeffect on both real and nominal variables.

The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach / Forni, Mario; Gambetti, L.. - In: JOURNAL OF MONETARY ECONOMICS. - ISSN 0304-3932. - STAMPA. - 57:2(2010), pp. 203-216. [10.1016/j.jmoneco.2009.11.009]

The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach

FORNI, Mario;
2010

Abstract

A structural factor model for 112 US monthly macroeconomic series is used tostudy the effects of monetary policy. Monetary policy shocks are identified usinga standard recursive scheme, in which the impact effects on both industrial productionand prices are zero. The main findings are the following. (i) The maximaleffect on bilateral real exchange rates is observed on impact, so that the “delayedovershooting” puzzle disappears. (ii) After a contractionary shock prices fall at allhorizons, so that the price puzzle is not there. (iii) Monetary policy has a sizableeffect on both real and nominal variables.
2010
57
2
203
216
The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach / Forni, Mario; Gambetti, L.. - In: JOURNAL OF MONETARY ECONOMICS. - ISSN 0304-3932. - STAMPA. - 57:2(2010), pp. 203-216. [10.1016/j.jmoneco.2009.11.009]
Forni, Mario; Gambetti, L.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/605571
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