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Information variables for monetary policy in an estimated structural model of the euro area

Lippi, Francesco and Neri, Stefano (2007) Information variables for monetary policy in an estimated structural model of the euro area. Journal of Monetary Economics, Vol. 54 (4), p. 1256-1270. ISSN 0304-3932. Article.

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DOI: 10.1016/j.jmoneco.2006.05.014

Abstract

A small scale new keynesian model for the euro area is estimated with maximum likelihood under the assumptions of imperfect information and discretionary monetary policy. The estimated parametrization of this widely used dynamic stochastic model unveils the monetary authorities’ objectives and the information content of two indicator variables: monetary aggregates and real unit labour costs. The results highlight a significant policy concern about interest-rate smoothing and inflation; almost no concern for output gap stabilization emerges. Regarding indicator variables, unit labour costs provide information on potential output that is helpful for stabilization policy; no useful information role emerges for monetary aggregates.

Item Type:Article
ID Code:2136
Status:Published
Refereed:Yes
Uncontrolled Keywords:Monetary policy, indicator variables, DSGE models, Kalman filter
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/01 Economia politica
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia, impresa, regolamentazione
Publisher:Elsevier
ISSN:0304-3932
Copyright Holders:© 2006 Elsevier
Deposited On:18 Aug 2009 10:07

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