Non-linear effects of the U.S. Monetary Policy in the Long Run

Lorena Olmos () and Marcos Sanso Frago

MPRA Paper from University Library of Munich, Germany

Abstract: We find non-linearities in the U.S. long-run relationships among trend inflation, growth rate and financial frictions. Moreover, our results show that mismeasurements of the natural rate of interest deviate the trend inflation from its target, which is especially clear when monetary policy reacts preventively against inflation deviations. The long-run growth rate, the trend inflation and the natural rate of interest, specified as time-varying, are jointly estimated over the period 1960:Q1-2013:Q2 by applying the Kalman filter, following mainly Laubach and Williams (2003).

Keywords: Kalman Filter; Trend Inflation; Financial frictions; Growth (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-fdg, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/57770/1/MPRA_paper_57770.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57770

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().