Testing the structural interpretation of the price puzzle with a cost channel model

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Title: Testing the structural interpretation of the price puzzle with a cost channel model
ISBN: 978-952-462-524-1
Author: Castelnuovo, Efrem
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2009
Series number: 20/2009
Year of publication: 2009
Publication date: 5.7.2009
Published in: Published in Oxford Bulletin of Economics and Statistics, Volume 74, Issue 3, June 2012: 425-452
DOI: 10.1111/j.1468-0084.2011.00658.x
Pages: 32 s.
Keywords: inflaatio; hinnat; kustannukset; mallit; rahapolitiikka; USA; korot; rahoitus; yritykset;
Abstract: We estimate a new-Keynesian DSGE model with the cost channel to assess its ability to replicate the price puzzle ie the inflationary impact of a monetary policy shock typically arising in VAR analysis. In order to correctly identify the monetary policy shock, we distinguish between a standard policy rate shifter and a shock to trend inflation ie the time-varying inflation target set by the Fed. While offering some statistical support to the cost channel, our estimated model clearly implies a negative inflation reaction to a tightening of monetary policy. We offer a discussion of the possible sources of mismatch between the VAR evidence and our own.
Note: Ilmestynyt myös Oxford Bulletin of Economics and Statistics 2012 ; 74 ; 3.
Rights: https://helda.helsinki.fi/bof/copyright

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