The federal reserve's implicit inflation target and macroeconomic dynamics. An SVAR analysis

Mumtaz, Haroon and Theodoridis, Konstantinos ORCID: https://orcid.org/0000-0002-4039-3895 2023. The federal reserve's implicit inflation target and macroeconomic dynamics. An SVAR analysis. International Economic Review 64 (4) , pp. 1749-1775. 10.1111/iere.12638

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Abstract

This paper identifies shocks to the Federal Reserve's inflation target as VAR innovations that make the largest contribution to future movements in long-horizon inflation expectations. The effectiveness of this scheme is documented via Monte-Carlo experiments. The estimated impulse responses indicate that a positive shock to the target is associated with a large increase in inflation and long-term interest rates in the US. Target shocks are estimated to be a vital factor behind the increase in inflation during the pre-1980 period and are an important driver of the decline in long-term interest rates over the last two decades

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Advanced Research Computing @ Cardiff (ARCCA) Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Wiley
ISSN:	0020-6598
Date of First Compliant Deposit:	17 April 2023
Date of Acceptance:	6 April 2023
Last Modified:	11 Jun 2024 15:09
URI:	https://orca.cardiff.ac.uk/id/eprint/158917

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