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The Effects of Monetary Policy on the Real Economy

Hafstein, Birgir LU (2011) NEKM01 20101
Department of Economics
Abstract
This paper looks for evidence of asymmetric effects of monetary policy on the real economy of the United States, the United Kingdom and Japan. In order to do this, a “new Keynesian” model is used as a basis with the regressions performed in a VAR setting. The results indicate that there is no empirical support for asymmetric effects of monetary policy shocks on the real economy. In fact, there is only vague evidence of any effects on the real economy whatsoever, for all countries under consideration. The estimation outputs reveal that no matter what lag length or sample size is chosen or if asymmetric aspects are taken into account, the effects of a monetary policy shock on the real economy are usually weak.
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author
Hafstein, Birgir LU
supervisor
organization
course
NEKM01 20101
year
type
H1 - Master's Degree (One Year)
subject
keywords
VAR model, Monetary policy, Asymmetric effects, New Keynesianism
language
English
id
1776789
date added to LUP
2011-02-15 13:49:56
date last changed
2011-02-15 13:49:56
@misc{1776789,
  abstract     = {This paper looks for evidence of asymmetric effects of monetary policy on the real economy of the United States, the United Kingdom and Japan. In order to do this, a “new Keynesian” model is used as a basis with the regressions performed in a VAR setting. The results indicate that there is no empirical support for asymmetric effects of monetary policy shocks on the real economy. In fact, there is only vague evidence of any effects on the real economy whatsoever, for all countries under consideration. The estimation outputs reveal that no matter what lag length or sample size is chosen or if asymmetric aspects are taken into account, the effects of a monetary policy shock on the real economy are usually weak.},
  author       = {Hafstein, Birgir},
  keyword      = {VAR model,Monetary policy,Asymmetric effects,New Keynesianism},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Effects of Monetary Policy on the Real Economy},
  year         = {2011},
}