Olmos, Lorena and Sanso Frago, Marcos (2014): Nonlinear effects of the U.S. Monetary Policy in the Long Run.

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Abstract
We find nonlinearities in the U.S. longrun 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 longrun growth rate, the trend inflation and the natural rate of interest, specified as timevarying, are jointly estimated over the period 1960:Q12013:Q2 by applying the Kalman filter, following mainly Laubach and Williams (2003).
Item Type:  MPRA Paper 

Original Title:  Nonlinear 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  TimeSeries 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.unimuenchen.de/id/eprint/57770 