Essays on monetary policy.

We enrich a standard monetary VAR with information about a) the central bank's (implicit) inflation target, using estimates from a theoretical DSGE model or the unobserved components model of Stock andWatson (2007), and b) inflation volatility, using estimates from a model with stochastic volatility. Both types of measures provide information that proves important in the nominal interest rate shock identification in that it strongly alleviates or removes the existence of a price puzzle. In addition to the improved identification of nominal interest rate shocks, our enriched VAR allows to consider the effects of changes in the monetary stance other than the ones reflected in the short rate, i.e., the effects of shifts in the inflation target or changes in inflation volatility.

Publication year:2019

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