Autori: Nachane, D. M. , Lakshmi, R.
Titolo: Measuring variability of monetary policy lags: a frequany domain approach
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2001 - Fascicolo: 7 - Pagina iniziale: 1 - Pagina finale: 46

This paper attempts to develop an appropriate econometric methodology to test Friedman's famous contention that monetary policy lags are both "long and variable". The neutrality of money associated with the early rational expectations literature, had made the study of monetary policy lags a somewhat cacuous exercise. Recently though, the han been a revival of interest in the issue, owing to increased scepticism about the neutrality of money-attributable to factors such as asset price volatility, forward-looking monetary policy rules, financial innovations and "menu costs". These features, in conjunction with the revived chort-run New Keynesian Phillips curve, imply some elbow-room for monetary policy to influence real output. The specific methodology that we advocate for analysing monetary policy lags is based on the concept of the "evolutionary spectrum", with the time-varying lag being calculated via the "group delay".


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