Price stability has been the foremost task of monetary policy. The information relating to the response of prices to monetary policy shocks is essential for conducting monetary policy in general and for inflation targeting of central banks in particular. Most of the published empirical studies analyze the response of an aggregate price index like CPI or a consumption deflator and their r...

This paper studies robust Ramsey policy problems in a general discrete-time linearquadratic framework when the Ramsey planner faces three types of ambiguity. This framework includes both exogenous and endogenous state variables. In addition, the equilibrium system from the private sector contains both backward-looking and forward-looking dynamics. We provide recursive characterizations and algo...

The aim of this study is to examine the nonlinear effects of fiscal and monetary policies on inflation during 1990:3 to 2013:1 based on threshold model. First lag of the liquidity growth is recognized as threshold variable with threshold value estimated at 6.37 percent. In low liquidity growth, the results indicate that inflation expectations and the lagged liquidity growth are the most importa...

Well before the global financial crisis, the stance of fiscal policy in a number of countries had raised concerns about risks for the outcomes of monetary policy. To provide some insights this paper examines the fiscal-monetary interactions in a novel game theory framework with asynchronous timing of moves. It generalizes the standard commitment concept of Stackelberg leadership by making it dy...

Forecast targeting,” forward-looking monetary policy that uses central-bank judgment to construct optimal policy projections of the target variables and the instrument rate, may perform substantially better than monetary policy that disregards judgment and follows a given instrument rule. This is demonstrated in a few examples for two empirical models of the U.S. economy, one forward looking an...

The purpose of the present research is to investigate the effective channels of the monetary transmission mechanism in Iran. To do so, we devised a New Keynesian Dynamic Stochastic General Equilibrium Model. In our model, the different types of nominal rigidities are introduced beside all the related structural equations, which are extracted and linearized around a steady state point. Furthermo...

The fiscal position of many countries is worrying – and getting worse. Should formally independent central bankers be concerned about observed fiscal excesses spilling over to monetary policy and jeopardizing price stability? To provide some insights, this paper tracks the interactions between fiscal and monetary policies in the data across time and space. It makes three main contributions. The...

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna andWalsh, 2006), employing recently developed moment-conditions inference methods, including identi…cation-robust procedures. Using US data, our results suggest that the cost channel e¤ect is poorly identi…ed and we are thus unable to corroborate the previous results in the literature. Keywords: Cost chan...

We use the structural factor model proposed by Forni, Giannone, Lippi and Reichlin (2007) to study the effects of monetary policy. The advantage with respect to the traditional vector autoregression model is that we can exploit information from a large data set, made up of 112 US monthly macroeconomic series. Monetary policy shocks are identified using a standard recursive scheme, in which the ...