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Monetary Policy Matters: New Evidence Based on a New Shock Measure

Monetary Policy Matters: New Evidence Based on a New Shock Measure by Christopher W. Crowe
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Conventional VAR and non-VAR methods of identifying the effects of monetary policy shocks on the economy have found a negative output response to monetary tightening using U.S. data over the 1960s-1990s. However, we show that these methods fail to find this contractionary effect when the sample is restricted to the period since the 1980s, apparently due to changes in the policymaking environment that reduce their effectiveness. Identifying policy shocks using Fed Funds futures data, we recover the contractionary effect of monetary tightening on output and find that almost half of output variation over the period appears due to policy shocks.
International Monetary Fund; October 2010
65 pages; ISBN 9781455283965
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Title: Monetary Policy Matters: New Evidence Based on a New Shock Measure
Author: Christopher W. Crowe; S. Mahdi Barakchian
 
ISBNs
1455283967
9781455208951
9781455209880
9781455283965