What are the effects of monetary policy on output? Results from an agnostic identification procedure |
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Authors: | Harald Uhlig |
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Institution: | a Department of Economics, Humboldt University, Spandauer Str. 1, 10178 Berlin, Germany b Tilburg University, 5000 LE Tilburg, The Netherlands c Bundesbank, 100117 Berlin, Germany d CEPR, London EC1V 7RR, UK |
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Abstract: | This paper proposes to estimate the effects of monetary policy shocks by a new agnostic method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock. No restrictions are imposed on the response of real GDP to answer the key question in the title. I find that “contractionary” monetary policy shocks have no clear effect on real GDP, even though prices move only gradually in response to a monetary policy shock. Neutrality of monetary policy shocks is not inconsistent with the data. |
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Keywords: | E52 C51 |
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