Description |
1 online resource (82 pages) |
Series |
IMF Working Paper ; WP/17/290 |
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IMF working paper ; WP/17/290.
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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 |
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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 |
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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 |
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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 |
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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 |
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Print version record |
Subject |
Monetary policy.
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Monetary policy
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Monetary Policy (Targets, Instruments, And Effects)
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Monetary Policy.
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Nondurables.
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All Countries.
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Business Fluctuations.
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Durables.
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Form |
Electronic book
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Author |
Melina, Giovanni, author.
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ISBN |
9781484336489 |
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1484336488 |
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1484335457 |
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9781484335451 |
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