The time-varying cost channel of monetary transmission

Journal of International Money and Finance

Volumn 28, Issue 6, 2009, Pages 941-953

  Tillmann, Peter ^a  

^a SWISS NATIONAL BANK   (Switzerland)

Author keywords

Cost channel; Financial frictions; Inflation dynamics; Monetary transmission; New Keynesian Phillips curve; Rolling window GMM

Indexed keywords

EID: 68749119744     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2008.10.003     Document Type: Article

References (25)

1. Barkbu, B., Cassino, V., Gosselin-Lotz, A., Piscatelli, L., 2005. The New Keynesian Phillips curve in the United States and the euro area: aggregation bias, stability and robustness. Bank of England Working Paper No. 285, London.
2. Barth M.J., and Ramey V.A. In: Bernanke B., and Rogoff K. (Eds). NBER Macroeconomics Annual. The cost channel of monetary transmission 16 (2001) 199-240
3. Bean, C., 2004. Asset prices, monetary policy and financial stability: a central banker's view. Speech at the AEA Meeting in San Diego, http://www.bankofengland.co.uk/publications/speeches/2004/speech207.pdf.
4. Bernanke B.S., Gertler M., and Gilchrist S.G. The financial accelerator in a quantitative business cycle framework. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics vol. 1c (1999)
5. Boivin J., and Giannoni K.P. Has monetary policy become more effective?. The Review of Economics and Statistics 88 (2006) 445-462
6. Brückner M., and Schabert A. Supply-side effects of monetary policy and equilibrium multiplicity. Economics Letters 79 (2003) 205-211
7. Chowdhury I., Hoffmann M., and Schabert A. Inflation dynamics and the cost channel of monetary transmission. European Economic Review 50 (2006) 995-1016
8. Christiano, L.J., Gust, C.J., 1999. Taylor rules in a limited participation model. NBER Working Paper No. 7017. Cambridge, MA.
9. Christiano L., Eichenbaum M., and Evans C.L. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
10. Christiano, L.J., Trabandt, M., Walentin, K., 2007. Introducing financial frictions and unemployment into a small open economy model. Sveriges Riksbank Working Paper No. 214. Stockholm.
11. Clarida R., Galí J., and Gertler M. Monetary policy rules and macroeconomic stability: evidence and some theory. Quarterly Journal of Economics 115 (2000) 147-180
12. Cooley T.F., and Quadrini V. Optimal monetary policy in a Phillips-curve world. Journal of Economic Theory 118 (2004) 174-208
13. Faia, E., 2008. Optimal monetary policy with credit augmented liquidity cycles. Unpublished Working Paper. Universita Tor Vergata.
14. Galí J., and Gertler M. Inflation dynamics: a structural econometric investigation. Journal of Monetary Economics 44 (1999) 195-222
15. Gertler M., and Lown C.S. The Information in the high-yield bond spread for the business cycle: evidence and some implications. Oxford Review of Economic Policy 15 (1999) 132-150
16. Höppner F., Melzer C., and Neumann T. Changing effects of monetary policy in the U.S. - evidence from a time-varying coefficient VAR. Applied Economics 40 (2008) 2353-2360
17. Justiniano A., and Primiceri G.E. The time varying volatility of macroeconomic fluctuations. American Economic Review 98 (2008) 604-641
18. Levin, A.T., Natalucci, F.M., Zakrajsek, E., 2005. The magnitude and cyclical behavior of financial market frictions. Federal Reserve Finance and Economics Discussion Paper No. 2004-70. Washington, DC.
19. Lown C., and Morgan D.P. The credit cycle and the business cycle: new findings using the loan officer opinion survey. Journal of Money, Credit, and Banking 38 (2006) 1575-1597
20. Lown, C.S., Morgan, D.P., Rohatgi, S., 2000. Listening to loan officers: the impact of commercial credit standards on lending and output. Economic Policy Review, Federal Reserve Bank of New York, July 2000, pp. 1-16.
21. Ravenna F., and Walsh C.E. Optimal monetary policy with the cost channel. Journal of Monetary Economics 53 (2006) 199-216
22. Schmitt-Grohé S., and Uribe M. Optimal simple and implementable monetary and fiscal rules. Journal of Monetary Economics 54 (2007) 1702-1725
23. Sellon, G.H., 2002. The changing U.S. financial system: some implications for the monetary transmission mechanism. Economic Review, Federal Reserve Bank of Kansas City, pp. 5-35.
24. Surico, P., forthcoming. The cost channel of monetary policy and indeterminacy. Macroeconomic Dynamics.
25. Tillmann P. Do interest rates drive inflation dynamics? An analysis of the cost channel of monetary transmission. Journal of Economic Dynamics and Control 32 (2008) 2723-2744