Marc P. Giannoni

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Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least three potential problems with the results. First, to the extent that central banks and the private sector have information not reflected(More)
Recent research provides evidence of important changes in the U.S. economic environment over the last 40 years. This appears to be associated with an alteration of the monetary transmission mechanism. In this paper we investigate the implications for the evolution of monetary policy effectiveness. Using an identiÞed VAR over the preand post-1980 periods we(More)
This paper investigates how monetary policy should be conducted in a two-region, general equilibrium model with monopolistic competition and price stickiness. This framework delivers a simple welfare criterion based on the utility of the consumers that has the usual tradeoff between stabilizing inflation and output. If the two regions share the same degree(More)
Most analyses of the U.S. Great Moderation have been based on VAR methods, and have consistently pointed toward good luck as the main explanation for the greater macroeconomic stability of recent years. Using data generated by a New-Keynesian model in which the only source of change is the move from passive to active monetary policy, we show that VARs may(More)
This paper characterizes optimal monetary policy for a range of alternative economic models, applying the general theory developed in Giannoni and Woodford (2002a). The rules computed here have the advantage of being optimal regardless of the assumed character of exogenous additive disturbances, though other aspects of model specification do affect the form(More)
To be added.] ∗This is a revision of the text delivered by the second author as the Jacob Marschak Lecture at the 2001 Far Eastern Meeting of the Econometric Society, Kobe, Japan, July 21, 2001. We thank Julio Rotemberg and Lars Svensson for helpful discussions, and the National Science Foundation, through a grant to the NBER, for research support. Views(More)
Despite the large amount of empirical research on monetary policy rules, there is surprisingly little consensus on the nature or even the existence of changes in the conduct of monetary policy. Three issues appear central to this disagreement: 1) the specific type of changes in the policy coefficients 2) the treatment of heteroskedasticity and 3) the(More)