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Monetary policy and the relative price of durable goods

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  • Cantelmo, Alessandro
  • Melina, Giovanni

Abstract

In a Structural Vector-Autoregressive model of the US, the response of the relative price of durables to a monetary policy contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new-house and nondurables prices. These findings are rationalized via the estimation of two-sector New-Keynesian (NK) models. Durables prices are estimated to be as sticky as those of nondurables, leading to a flat relative price response to a monetary policy shock. Conversely, house prices are estimated to be almost flexible. Such results survive several robustness checks and a three-sector extension of the NK model. These findings have implications for building NK models with durable and nondurable goods, and for the conduct of monetary policy.

Suggested Citation

  • Cantelmo, Alessandro & Melina, Giovanni, 2018. "Monetary policy and the relative price of durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 1-48.
  • Handle: RePEc:eee:dyncon:v:86:y:2018:i:c:p:1-48
    DOI: 10.1016/j.jedc.2017.10.006
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    Cited by:

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    4. Melina, Giovanni & Villa, Stefania, 2023. "Drivers of large recessions and monetary policy responses," Journal of International Money and Finance, Elsevier, vol. 137(C).
    5. Shesadri Banerjee & Parantap Basu & Chetan Ghate, 2020. "A Monetary Business Cycle Model For India," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1362-1386, July.
    6. Shesadri Banerjee & Harendra Behera, 2023. "Financial frictions, bank intermediation and monetary policy transmission in India," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 31(3), pages 749-785, July.
    7. Eskelinen, Maria, 2021. "Monetary policy, agent heterogeneity and inequality: insights from a three-agent New Keynesian model," Working Paper Series 2590, European Central Bank.
    8. Fang‐Shuo Chang & Shiu‐Sheng Chen & Po‐Yuan Wang, 2020. "Politics and the UK's monetary policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(5), pages 486-522, November.
    9. Andrea Papetti, 2021. "Population aging, relative prices and capital flows across the globe," Temi di discussione (Economic working papers) 1333, Bank of Italy, Economic Research and International Relations Area.
    10. Rui Faustino, 2019. "Deep Habits in New Keynesian model with durable goods," Working Papers REM 2019/0106, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    11. Olivier Fortin‐Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "A large Canadian database for macroeconomic analysis," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1799-1833, November.
    12. Viacheslav Kramkov, 2023. "Does CPI disaggregation improve inflation forecast accuracy?," Bank of Russia Working Paper Series wps112, Bank of Russia.
    13. Casalis, André & Krustev, Georgi, 2022. "Cyclical drivers of euro area consumption: What can we learn from durable goods?," Journal of International Money and Finance, Elsevier, vol. 120(C).
    14. Shesadri Banerjee & M S Mohanty, 2021. "US monetary policy and the financial channel of the exchange rate: evidence from India," BIS Working Papers 945, Bank for International Settlements.

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    More about this item

    Keywords

    Monetary policy; Durables; Nondurables; Price stickiness; Relative price;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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