scholarly journals The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach

2016 ◽  
Vol 106 (10) ◽  
pp. 2817-2851 ◽  
Author(s):  
Fernando Alvarez ◽  
Hervé Le Bihan ◽  
Francesco Lippi
Keyword(s):  
Large Class ◽  
Size Distribution ◽  
Monetary Shocks ◽  
Price Changes ◽  
Empirical Measures ◽  
Sufficient Statistic ◽  
The Real ◽  
Real Effects ◽  
Statistic Result ◽  
Statistic Approach

We prove that the ratio of kurtosis to the frequency of price changes is a sufficient statistic for the real effects of monetary shocks, measured by the cumulated output response following the shock. The sufficient statistic result holds in a large class of models which includes Taylor (1980); Calvo (1983); Reis (2006 ); Golosov and Lucas (2007 ); Nakamura and Steinsson (2010); Midrigan (2011); and Alvarez and Lippi (2014). Several models in this class are able to account for the positive excess kurtosis of the size distribution of price changes that appears in the data. We review empirical measures of kurtosis and frequency and conclude that a model that successfully matches the microevidence on kurtosis and frequency produces real effects that are about four times larger than in the Golosov-Lucas model, and about 30 percent below those of the Calvo model. We discuss the robustness of our results to changes in the setup, including small inflation and leptokurtic cost shocks. (JEL, E23, E31)

scholarly journals Asymmetric effects of monetary policy in Brazil

2009 ◽  
Vol 39 (2) ◽  
pp. 277-300 ◽  
Author(s):  
Edilean Kleber da Silva Bejarano Aragón ◽  
Marcelo Savino Portugal
Keyword(s):  
Monetary Policy ◽  
Monetary Shocks ◽  
Monetary Policies ◽  
The Real ◽  
Asymmetric Effects ◽  
Real Effects ◽  
Markov Switching Models ◽  
Switching Models ◽  
The Business Cycle ◽  
Negative Shock

In this paper, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. In general, results show that: i) the real effects of negative monetary shocks are larger than those of positive shocks in an expansion; ii) in a recession, the real effects of positive and negative shocks are the same; iii) there is no evidence of asymmetry between the effects of countercyclical monetary policies; and iv) it is not possible to assert that the effects of a positive (or negative) shock are dependent upon the phase of the business cycle.

Real Propagation of Monetary Shocks: Dynamic Complementarities and Capital Utilization

1999 ◽  
Vol 3 (3) ◽  
pp. 368-383 ◽  
Author(s):  
David Cook
Keyword(s):  
Money Supply ◽  
Monetary Shocks ◽  
Time Varying ◽  
Propagation Channel ◽  
Capital Utilization ◽  
The Real ◽  
Real Effects ◽  
Dynamic Propagation ◽  
Liquidity Shock

This paper studies the dynamic propagation of a liquidity shock through two real propagation channels: dynamic complementarities and time-varying capital utilization. The findings for an economy with intertemporal externalities are: (1) An otherwise transient liquidity shock will have real effects on output for several years; (2) time-varying capital utilization strongly augments this propagation; (3) the real effects of monetary shocks last longer when external productivity depreciates faster; and (4) nominal prices respond more sluggishly to a change in the money supply when there is a strong real propagation channel.

A NOTE ON THE REAL EFFECTS OF MONETARY SHOCKS: A LIMITED PARTICIPATION MODEL

2012 ◽  
Vol 17 (4) ◽  
pp. 936-946
Author(s):  
Pedro J. Gutiérrez ◽  
Carlos R. Palmero
Keyword(s):  
Labor Market ◽  
Public Spending ◽  
Monetary Shocks ◽  
Real Business Cycle ◽  
Technology Shocks ◽  
Limited Participation ◽  
The Real ◽  
Real Effects ◽  
Rbc Models ◽  
Better Than

This paper presents a monetary stochastic general equilibrium model that allows the real cyclical movements of the economy to be explained as a consequence of exogenous monetary, public spending, and technology shocks. The model is calibrated and simulated, and its accuracy in replicating the cyclical movements in the real variables is compared with that of the standard real business cycle (RBC) model. We find that our model fits the observed data better than the existing RBC models, especially for the labor market.

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