UNSPECIFIED (2019): Disentanglement of natural interest rate shocks and monetary policy shocks nexus.
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Abstract
This paper proposes a novel two-step identification procedure of natural interest rate shocks. Altogether, monetary policy and natural interest shocks explain about 90% of total inflation dynamics. The paper exploits (J.E. Arias et al., 2019) procedure, which allows getting canonical impulse response functions to monetary policy shocks. I find no evidence of price and output puzzles. The estimated natural interest rate declines from 2015 to 2019 years. Furthermore, Bank of Russia follows the mandate and reacts to inflation in monetary policy feedback rule, while does not respond to output fluctuations.
Item Type: | MPRA Paper |
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Original Title: | Disentanglement of natural interest rate shocks and monetary policy shocks nexus |
English Title: | Disentanglement of natural interest rate shocks and monetary policy shocks nexus |
Language: | English |
Keywords: | SVAR, monetary policy, natural interest rate, Russia |
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 > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies |
Item ID: | 99490 |
Depositing User: | Gleb Kurovskiy |
Date Deposited: | 08 Apr 2020 11:25 |
Last Modified: | 11 Dec 2024 07:33 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/99490 |
Available Versions of this Item
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Disentanglement of natural interest rate shocks and monetary policy shocks nexus. (deposited 25 Dec 2019 22:23)
- Disentanglement of natural interest rate shocks and monetary policy shocks nexus. (deposited 08 Apr 2020 11:25) [Currently Displayed]