The Effects of Monetary Policy on Growth- and Inflation-at-Risk
Principal Investigator(s): View help for Principal Investigator(s) Konstantin Boss, JRC Ispra
Version: View help for Version V1
Version Title: View help for Version Title v0_prepub
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Project Citation:
Boss, Konstantin. The Effects of Monetary Policy on Growth- and Inflation-at-Risk. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-01-20. https://doi.org/10.3886/E216102V1
Project Description
Summary:
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I use a combination of a structural dynamic factor model and quantile regressions to study how monetary policy shocks affect the predicted distributions of GDP growth and inflation in the US. Contractionary monetary policy shocks shift the expected distribution of GDP growth to the left and deepen its two modes. The expected distribution of inflation is spread out and retains significant probability mass for inflation increases. Expansionary policy instead, reduces the bimodality of expected GDP growth in favor of the ``good" equilibrium and decreases the spread of the inflation distribution.
Scope of Project
Subject Terms:
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monetary policy;
dynamic factor model;
growth at risk;
inflation at risk
Geographic Coverage:
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USA
Time Period(s):
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1959 – 2023
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