scholarly journals Uncertainty-Dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation

2018 ◽  
Author(s):  
Efrem Castelnuovo ◽  
Giovanni Pellegrino
Keyword(s):  
Monetary Policy ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Policy Shocks

Services Deepening and the Transmission of Monetary Policy

2018 ◽  
Vol 17 (4) ◽  
pp. 1261-1293 ◽  
Author(s):  
Alessandro Galesi ◽  
Omar Rachedi
Keyword(s):  
Monetary Policy ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Marginal Costs ◽  
Cost Channel ◽  
Keynesian Model ◽  
Output Matrix ◽  
Inflation Rates ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

Abstract The structural transformation from manufacturing to services comes with a process of services deepening: the services share of intermediate inputs rises over time. Moreover, inflation reacts less to monetary policy shocks in countries that are more intensive in services intermediates. We rationalize these facts using a two-sector New Keynesian model where trends in sectoral productivities generate endogenous variations in the Input–Output matrix. Services deepening reduces the contemporaneous response of inflation to monetary policy shocks through a marginal cost channel. Since services prices are stickier than manufacturing prices, the rise of services intermediates raises the sluggishness of sectoral marginal costs and inflation rates.

scholarly journals Application of the Bayesian New Keynesian DSGE Model to Polish Macroeconomic Data

2021 ◽  
Vol 32 (2) ◽  
pp. 140-153
Author(s):  
Janusz Sobieraj ◽  
Dominik Metelski
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Significant Degree ◽  
New Keynesian ◽  
Output Gap ◽  
Monetary Policy Shocks ◽  
Dsge Model ◽  
Nominal Interest Rates ◽  
Policy Shocks ◽  
Dynamic Stochastic

In the paper we estimate a simple New Keynesian Dynamic Stochastic General Equilibrium NK DSGE model on the basis of Polish macro data from the period 2000-2019. The model is specified similarly to Galí (2008) with the use of the Bayesian approach. The NK DSGE model combines the advantages of both structural models and time-series models and, therefore, shows a significant degree of alignment with empirical data. The Bayesian estimation is based on the prior distribution of the model input parameters, which are later compared with the posteriors. The results obtained allow for assessing the persistence of responses to technological, inflationary and monetary policy shocks. On the basis of the NK DSGE model, we formulate a perception of macroeconomic interactions, e.g. nominal interest rates’ association with inflation and the output gap. In other words, the NK DSGE model provides a better understanding of the relationship between interest rates, inflation and the output gap. This in turn makes it easier to understand the monetary policy response function.

scholarly journals INTEREST RATE EFFECTS OF DEMOGRAPHIC CHANGES IN A NEW KEYNESIAN LIFE-CYCLE FRAMEWORK

2014 ◽  
Vol 20 (1) ◽  
pp. 120-164 ◽  
Author(s):  
Engin Kara ◽  
Leopold von Thadden
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
New Keynesian ◽  
Policy Framework ◽  
Small Scale ◽  
Monetary Policy Shocks ◽  
Keynesian Model ◽  
Rate Effects ◽  
Policy Shocks ◽  
Short Run

This paper develops a small-scale DSGE model that embeds a demographic structure within a monetary policy framework. We extend the nonmonetary overlapping-generations model of Gertler and present a small synthesis model that combines the setup of Gertler with a New Keynesian structure, implying that the short-run dynamics related to monetary policy can be compared with that of the standard New Keynesian model. In sum, the model offers a New Keynesian platform that can be used to characterize the response of macroeconomic variables to demographic shocks, similarly to the responses to technology or monetary policy shocks. We offer such characterizations for flexible and sticky price equilibria. Empirically, we calibrate the model to demographic developments projected for the euro area. The main finding is that the projected slowdown in population growth and the increase in longevity contribute slowly over time to a decline in the equilibrium interest rate.

scholarly journals Limited Participation in Equity Markets and Business Cycles

2021 ◽  
Vol 2021 (026) ◽  
pp. 1-79
Author(s):  
Juan M. Morelli ◽  
Keyword(s):  
Monetary Policy ◽  
Equity Markets ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Limited Participation ◽  
Macroeconomic Shocks ◽  
Us Economy ◽  
The Us ◽  
Policy Shocks ◽  
The Individual

This paper studies how the rise in US households' participation in equity markets affects the transmission of macroeconomic shocks to the economy. I embed limited participation into a New Keynesian framework for the US economy to analyze the individual and aggregate effects of higher participation. I derive three main results. First, participants are relatively more responsive to shocks than nonparticipants. Second, higher participation reduces the effectiveness of monetary policy. Third, with higher participation the economy becomes less volatile. I contrast key predictions of my model with new micro-level empirical evidence on the response of consumption to monetary policy shocks.

INSIDE MONEY IN GENERAL EQUILIBRIUM: DOES IT MATTER FOR MONETARY POLICY?

2011 ◽  
Vol 17 (3) ◽  
pp. 563-590 ◽  
Author(s):  
Livio Stracca
Keyword(s):  
Monetary Policy ◽  
Active Role ◽  
Significant Loss ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Real Effects ◽  
Keynesian Model ◽  
Inside Money ◽  
Policy Shocks ◽  
Money Shocks

This paper analyzes the role and importance of “inside” money, made out of commercial banks' liabilities, for a New Keynesian model of the type commonly used for monetary policy analysis. The active role of inside money stems from its unique role in allowing payment for at least some consumption goods; shocks to the production of inside money may therefore have real effects. A calibrated version of the model is shown to generate small, but nonnegligible effects of inside money shocks on output and inflation. Moreover, the presence of inside money in the model leads to a slight attenuation of the effect of technology and monetary policy shocks. Finally, it is found that it is optimal for monetary policy to react to inside money shocks, but reacting to inflation alone does not result in a significant loss of household welfare.

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