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Book Cover
E-book
Author Cantelmo, Alessandro, author

Title Monetary Policy and the Relative Price of Durable Goods
Published [Washington, D.C.] : International Monetary Fund, [2017]
©2017

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Description 1 online resource (82 pages)
Series IMF Working Paper ; WP/17/290
IMF working paper ; WP/17/290.
Contents Cover; Contents; 1 Introduction; 2 Structural vector-autoregressive models; 2.1 Methodology; 2.2 Results; 3 New-Keynesian model; 3.1 Households; 3.1.1 Patient households; 3.1.2 Impatient households; 3.2 Firms; 3.3 Fiscal and monetary policy; 3.4 Market clearing conditions and exogenous processes; 3.5 Functional forms; 3.6 Bayesian estimation; 3.6.1 Calibration and priors; 3.6.2 Estimation results; 3.6.3 Impulse response functions; 3.7 Estimated sectoral price stickiness in extended models; 3.7.1 Imperfect sectoral labor mobility; 3.7.2 Price indexation; 3.7.3 Three-sector model
4 Concluding remarksReferences; Appendix; A Data: sources and transformations; A.1 Durables and Residential Investments; A.2 Nondurables and Services; A.3 Only broad measure of houses; A.4 Durable goods and New-single family houses; A.5 Durable goods and broad measure of houses; A.6 Data transformation for Bayesian estimation; B SVAR methodologies; B.1 Recursive approach; B.2 Sign restrictions approach; B.3 Narrative approach; C Robustness checks for the SVAR model; C.1 SVAR Models with trend; C.2 Alternative definitions of durables; C.3 Subsample analysis; C.4 Sign restrictions
C.5 Proxy SVAR approachC. 6 Three-sector SVAR model; D The DSGE models; D.1 Symmetric equilibrium; D.1.1 Patient households; D.1.2 Impatient households; D.1.3 Firms; D.1.4 Monetary policy and market clearing; D.2 Steady state; D.3 Symmetric equilibrium of the extended models; D.3.1 Imperfect Sectoral Labor Mobility; D.3.2 Price Indexation; D.3.3 Three-sector model; E Robust impulse responses; F Bayesian impulse responses; G Posterior distributions of Inverse Frisch Elasticities; H Models comparison; H.1 The importance of the income share of patient households
I Posterior estimates of extended modelsList of Tables; 1 Correlations between lags of changes in the Federal funds rate (FFR) and changes in selected macroeconomic variables; 2 Definitions of Relative Prices; 3 Sign restrictions; 4 Calibrated parameters; 5 Prior and posterior distributions of estimated parameters; 6 Estimated price stickiness parameters in extended models; A.1 Data Sources; A.2 Data transformation -- Observables; E.1 Parameter ranges; H.1 Likelihood comparison; H.2 Estimated price stickiness parameters in restricted models
I.1 Prior and posterior distributions of estimated parameters: models with imperfect labor mobilityI. 2 Prior and posterior distributions of estimated parameters: models with price indexation; I.3 Prior and posterior distributions of estimated parameters: three-sector model; I.4 Prior and posterior distributions of exogenous processes: three-sector model; List of Figures; 1 SVAR impulse responses to a one standard deviation increase in the monetary policy measure; 2 SVAR responses of the relative price to a one standard deviation increase in the monetary policy measure
Summary In a SVAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new-house and nondurables prices. These findings are rationalized via the estimation of a two-sector New-Keynesian (NK) models. Durables prices are estimated to be as sticky as nondurables, leading to a flat relative price response to a monetary shock. Conversely, house prices are estimated to be almost flexible. Such results survive several robustness checks and a three-sector extension of the NK model. These findings have implications for building two-sector NK models with durable and nondurable goods, and for the conduct of monetary policy
Notes 3 Prior and posterior densities of price stickiness parameters
Print version record
Subject Monetary policy.
Monetary policy
Monetary Policy (Targets, Instruments, And Effects)
Monetary Policy.
Nondurables.
All Countries.
Business Fluctuations.
Durables.
Form Electronic book
Author Melina, Giovanni, author.
ISBN 9781484336489
1484336488
1484335457
9781484335451