TY - JOUR
T1 - The dynamic effects of monetary policy: A structural factor model approach
AU - Forni, Mario
AU - Gambetti, Luca
PY - 2010/3/1
Y1 - 2010/3/1
N2 - A structural factor model for 112 US monthly macroeconomic series is used to study the effects of monetary policy. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. The main findings are the following. First, the maximal effect on bilateral real exchange rates is observed on impact, so that the "delayed overshooting" puzzle disappears. Second, after a contractionary shock prices fall at all horizons, so that the price puzzle is not there. Finally, monetary policy has a sizable effect on both real and nominal variables. © 2009 Elsevier B.V. All rights reserved.
AB - A structural factor model for 112 US monthly macroeconomic series is used to study the effects of monetary policy. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. The main findings are the following. First, the maximal effect on bilateral real exchange rates is observed on impact, so that the "delayed overshooting" puzzle disappears. Second, after a contractionary shock prices fall at all horizons, so that the price puzzle is not there. Finally, monetary policy has a sizable effect on both real and nominal variables. © 2009 Elsevier B.V. All rights reserved.
KW - Delayed overshooting puzzle
KW - Monetary policy
KW - Price puzzle
KW - Structural VAR
KW - Structural factor model
U2 - 10.1016/j.jmoneco.2009.11.009
DO - 10.1016/j.jmoneco.2009.11.009
M3 - Article
SN - 0304-3932
VL - 57
SP - 203
EP - 216
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
ER -