Data and Code for: The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models
Principal Investigator(s): View help for Principal Investigator(s) Martin Uribe, Columbia University
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| empirical_model | 01/21/2021 10:03:PM | ||
| optimizing_model | 07/08/2021 09:38:AM |
Project Description
Summary:
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This paper assesses the presence and importance of the neo-Fisher effect in postwar data. It formulates and estimates an empirical and a new Keynesian model driven by stationary and nonstationary monetary and real shocks. In accordance with conventional wisdom, temporary increases in the nominal interest rate are estimated to cause decreases in inflation and output. The main finding of the paper is that permanent monetary shocks that increase the nominal interest rate and inflation in the long run cause in the short run increases in interest rates, inflation, and output, and explain about 45 percent of inflation changes.
This paper assesses the presence and importance of the neo-Fisher effect in postwar data. It formulates and estimates an empirical and a new Keynesian model driven by stationary and nonstationary monetary and real shocks. In accordance with conventional wisdom, temporary increases in the nominal interest rate are estimated to cause decreases in inflation and output. The main finding of the paper is that permanent monetary shocks that increase the nominal interest rate and inflation in the long run cause in the short run increases in interest rates, inflation, and output, and explain about 45 percent of inflation changes.
Scope of Project
Subject Terms:
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NeoFisher Effect;
Monetary POlicy;
Reflation;
Inflation Target Shocks
JEL Classification:
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E52 Monetary Policy
E52 Monetary Policy
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