Olmos, Lorena and Sanso Frago, Marcos (2014): Non-linear effects of the U.S. Monetary Policy in the Long Run.
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Abstract
We find non-linearities in the U.S. long-run relationships among trend inflation, growth rate and financial frictions. Moreover, our results show that mismeasurements of the natural rate of interest deviate the trend inflation from its target, which is especially clear when monetary policy reacts preventively against inflation deviations. The long-run growth rate, the trend inflation and the natural rate of interest, specified as time-varying, are jointly estimated over the period 1960:Q1-2013:Q2 by applying the Kalman filter, following mainly Laubach and Williams (2003).
Item Type: | MPRA Paper |
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Original Title: | Non-linear effects of the U.S. Monetary Policy in the Long Run |
Language: | English |
Keywords: | Kalman Filter; Trend Inflation; Financial frictions; Growth |
Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy |
Item ID: | 57770 |
Depositing User: | Lorena Olmos |
Date Deposited: | 06 Aug 2014 12:22 |
Last Modified: | 27 Sep 2019 07:51 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/57770 |