Noisy information, interest rate shocks and the Great Moderation
| Autor: | Johann Scharler, Eric Mayer |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Strukturwandel
Sensitivitätsanalyse Economics and Econometrics Geldpolitik media_common.quotation_subject Noisy Data Neukeynesianische Makroökonomik Standard deviation ddc:330 Econometrics Economics New Keynesian economics Transmissionsmechanismus E58 Wirtschaftliche Anpassung E52 Gesamtwirtschaftliche Produktion USA E32 media_common Great Moderation Keynesian economics Monetary policy jel:E32 jel:E52 jel:E58 Interest rate New Keynesian Model Output gap Central bank Great Moderation New Keynesian Model Noisy Data |
| Zdroj: | Journal of Macroeconomics. 33:568-581 |
| ISSN: | 0164-0704 |
| DOI: | 10.1016/j.jmacro.2011.08.004 |
| Popis: | In this paper we evaluate the hypothesis that the Great Moderation is partly the result of a less activist monetary policy. We simulate a New Keynesian model in which the central bank can only observe a noisy estimate of the output gap and find that the less pronounced reaction of the Federal Reserve to output gap fluctuations since 1979 can account for a substantial part of the reduction in the standard deviation of GDP associated with the Great Moderation. Our simulations are consistent with the empirically documented smaller magnitude and impact of interest rate shocks since the early 1980s. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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