KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 경제분야 국제기구 - ECB - Stochastic discounting and the transmission of money supply shocks

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Stochastic discounting and the transmission of money supply shocks

ECB 2018.10.18
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This paper studies the effects of money supply shocks in a general equilibrium model that reproduces a term premium of the magnitude observed in the data. In an environment where financial frictions are the main source of monetary non-neutrality, I find that money supply shocks are less effective at stimulating inflation in recessions than in expansions. In terms of quantitative magnitude, the impact effect on inflation of a money supply shock is about half as large during recessions than during booms. This state dependence is essentially due to the time-variation in stochastic discounting that is needed to match the data.

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