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|z 9781484378229
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Willems, Tim.
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|a What Do Monetary Contractions Do? :
|b Evidence From Large, Unanticipated Tightenings /
|c Tim Willems.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2018.
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|a 1 online resource (29 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a As the 'Volcker shock' is believed to have generated useful information on the effects of monetary policy, this paper develops a simple procedure to identify other unanticipated monetary contractions. The approach is applied to a panel data set spanning 162 countries (over the period 1970-2017), in which it identifies 147 large monetary contractions. The procedure selects episodes where a protracted period of loose monetary policy was suddenly followed by sizeable nominal interest rate increases. Focusing on contractions of significant size increases the signal-to-noise ratio, while they are unlikely to be accompanied by confounding 'information effects' (markets interpreting a rate hike as the Central Bank being optimistic about the real side of the economy). A subsequent panel VAR analysis suggests that a 100-basis point rate hike reduces real GDP by 0.5 percent. This reduction in output seems to be persistent, pointing to a certain degree of hysteresis. The price level falls by 1.5 percent, indicating that the medium-/long-run impact of contractionary monetary shocks is not characterized by a neo-Fisherian response. Advanced economies appear to display more price stickiness than emerging/developing countries, as the former combine a more muted price response with a larger effect on output.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2018/211
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2018/211/001.2018.issue-211-en.xml
|z IMF e-Library
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