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Has the FED Fallen behind the Curve? Evidence from VAR models

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  • Conti, Antonio M.

Abstract

We evaluate the role of US monetary policy in shaping inflation and economic activity by means of a medium-scale Bayesian VAR model, where the ZLB and the unconventional measures are addressed by using a shadow interest rate. The historical decomposition and a conditional forecast scenario show that the FED’s stance is in line with GDP and inflation dynamics. Moreover, core inflation will likely lie below its target in 2017.

Suggested Citation

  • Conti, Antonio M., 2017. "Has the FED Fallen behind the Curve? Evidence from VAR models," Economics Letters, Elsevier, vol. 159(C), pages 164-168.
    • Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:164-168
    DOI: 10.1016/j.econlet.2017.06.011
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    References listed on IDEAS

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    1. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
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    Cited by:

    1. Evans, Jocelyn D. & Robertson, Mari L., 2018. "The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending," Economics Letters, Elsevier, vol. 171(C), pages 164-168.
    2. Sune Karlsson & Pär Österholm, 2020. "A note on the stability of the Swedish Phillips curve," Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
    3. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
    4. Conti, Antonio M. & Nobili, Andrea & Signoretti, Federico M., 2023. "Bank capital requirement shocks: A narrative perspective," European Economic Review, Elsevier, vol. 151(C).
    5. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    6. Conti, Antonio M., 2021. "Resurrecting the Phillips Curve in Low-Inflation Times," Economic Modelling, Elsevier, vol. 96(C), pages 172-195.
    7. Hanisch, Max, 2019. "US monetary policy and the euro area," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 77-96.
    8. Antonio M. Conti & Andrea Nobili, 2019. "Wages and prices in the euro area: exploring the nexus," Questioni di Economia e Finanza (Occasional Papers) 518, Bank of Italy, Economic Research and International Relations Area.
    9. Antonio M. Conti & Concetta Gigante, 2018. "Weakness in Italy�s core inflation and the Phillips curve: the role of labour and financial indicators," Questioni di Economia e Finanza (Occasional Papers) 466, Bank of Italy, Economic Research and International Relations Area.

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