nep-mon New Economics Papers
on Monetary Economics
Issue of 2013‒04‒13
25 papers chosen by
Bernd Hayo
Philipps-University Marburg

  1. Understanding global liquidity By Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris
  2. Credit Risks and Monetary Policy Trade-Offs By Kevin x.d. Huang; J. scott Davis
  3. Capital Flows and the Risk-Taking Channel of Monetary Policy By Valentina Bruno; Hyun Song Shin
  4. International monetary transmission to the Euro area: Evidence from the U.S., Japan and China By Vespignani, Joaquin L.; Ratti, Ronald A
  5. Politics on the road to the U.S. monetary union By Peter L. Rousseau
  6. Short and Long Interest Rate Targets By Pedro Teles; Isabel Correia; Bernardino Adao
  7. Monetary Policy and Rational Asset Price Bubbles By Galí, Jordi
  8. How Optimal is US Monetary Policy? By Chen, Xiaoshan; Kirsanova, Tatiana; Leith, Campbell
  9. Macroeconomic Stability and Heterogeneous Expectations By Nicolò Pecora; Alessandro Spelta
  10. The Future of International Liquidity and the Role of China By Taylor, Alan M.
  11. Was there a "Greenspan conundrum" in the Euro area ? By Lamé, Gildas
  12. Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates By John Williams; Eric Swanson
  13. The comeback of inflation as an optimal public finance tool By Di Bartolomeo Giovanni; Acocella Nicola; Tirelli Patrizio
  14. Inferring hawks and doves from voting records By Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis
  15. Exchange rate policy and devaluation in Malawi: By Pauw, Karl; Dorosh, Paul A.; Mazunda, John
  16. Three Sisters: The Interlinkage between Sovereign Debt, Currency and Banking Crises By Eijffinger, Sylvester C W; Karatas, Bilge
  17. Inflation Persistence: Revisited By Edward N. Gamber; Jeffrey P. Liebner; Julie K. Smith
  18. Macroprudential Policy and Its Instruments in a Small EU Economy By Jan Frait; Zlatuse Komarkova
  19. The mystique surrounding the central bank’s balance sheet, applied to the European crisis By Reis, Ricardo
  20. Combining disaggregate forecasts for inflation: The SNB's ARIMA model By Marco Huwiler; Daniel Kaufmann
  21. Money in the Production Function: a new Keynesian DSGE perspective By Benchimol , Jonathan
  22. How Does the Regional Monetary Unit Work as a Surveillance Tool in East Asia? By KAWASAKI Kentaro
  23. Finance at Center Stage: Some Lessons of the Euro Crisis By Obstfeld, Maurice
  24. Is Increased Price Flexibility Stabilizing? Redux By Raphael Schoenle; Gauti Eggertsson; Saroj Bhattarai
  25. Oil price shocks and monetary policy in a data-rich environment By Knut Are Aastveit

  1. By: Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris
    Abstract: We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand. --
    Keywords: global liquidity,monetary policy,credit supply,credit demand,international business cycles,factor model,sign restrictions
    JEL: E5 E44 F3 C3
    Date: 2013
  2. By: Kevin x.d. Huang (Vanderbilt University); J. scott Davis (Federal Reserve Bank of Dallas)
    Abstract: Financial frictions and …financial shocks can affect the trade-off between inflation stabilization and output-gap stabilization faced by a central bank. Financial frictions lead to a greater response in output following any deviation of inflation from target and thus lead to an increase in the sacrifice ratio. As a result, optimal monetary policy in the face of credit frictions is to allow greater output gap instability in return for greater inflation stability. Such a shift in optimal monetary policy can be mimicked in a Taylor-type interest rate feedback rule that shifts weight to inflation and the lagged interest rate and away from output. However, the ability of the conventional Taylor rule to mimic optimal policy gets worse as credit market frictions and shocks intensify. By including a …financial variable like the lending spread in the monetary policy rule, the central bank can partially reverse this worsening output-inflation trade-off brought about by financial frictions and partially undo the effects of credit market frictions and shocks. Thus the central bank may want to include lending spreads in the policy rule even when …financial distortions are not explicitly part of the central bank's objective function.
    Keywords: Credit friction; Credit shock; Credit spread; Monetary policy trade-offs; Taylor rule
    JEL: E0 G0
    Date: 2013–03–25
  3. By: Valentina Bruno; Hyun Song Shin
    Abstract: We study the dynamics linking monetary policy with bank leverage and show that adjustments in leverage act as the linchpin in the monetary transmission mechanism that works through fluctuations in risk-taking. Motivated by the evidence, we formulate a model of the "risk-taking channel" of monetary policy in the international context that rests on the feedback loop between increased leverage of global banks and capital flows amid currency appreciation for capital recipient economies.
    JEL: E5 F32 F33 F34 G21
    Date: 2013–04
  4. By: Vespignani, Joaquin L.; Ratti, Ronald A
    Abstract: There are marked differences in the effect of increases in monetary aggregates in China, Japan and the U.S. on Euro area economic and financial variables over 1999-2012. Increases in monetary aggregates in China are associated with significant increases in the world price of commodities and with increases in Euro area inflation, industrial production and exports. Results are consistent with shocks to China‟s M2 facilitating domestic growth with expansionary consequences for the Euro area economy. In contrast, increases in monetary aggregates in Japan are associated with significant appreciation of the Euro and decreases in Euro area industrial production and exports. Production of goods highly competitive with European goods in Japan and expenditure switching in Japan are consistent with the results. U.S. monetary expansion has relatively small effects on the Euro area over this period compared to results reported in the literature for earlier sample periods.
    Keywords: International monetary transmission, China‟s monetary aggregates, Euro area Commodity prices
    JEL: E40 E42 E52 E58
    Date: 2013–04–01
  5. By: Peter L. Rousseau (Vanderbilt University)
    Abstract: Is political unity a necessary condition for a successful monetary union? The early United States seems a leading example of this principle. But the view is misleadingly simple. I review the historical record and uncover signs that the United States did not achieve a stable monetary union, at least if measured by a uniform currency and adequate safeguards against systemic risk, until well after the Civil War and probably not until the founding of the Federal Reserve. Political change and shifting policy positions end up as key factors in shaping the monetary union that did ultimately emerge.
    Keywords: colonial currency, Bank of the United States, Jacksonian monetary policy, free banking, National Banking System, Federal Reserve System
    JEL: N1 N2
    Date: 2013–03–25
  6. By: Pedro Teles (Banco de Portugal, Universidade Catolica); Isabel Correia (Banco de Portugal); Bernardino Adao (Banco de Portugal)
    Abstract: A target for the short-term nominal interest rate does not pin down realized inflation. Neither does it pin down the term premia. Short and long rates are threrefore independent monetary policy instruments. A target of the term structure is equivalent to a peg of the returns on state-contingent nominal assets. These are the rates that should be targeted in order to pin down realized inflation.
    Date: 2012
  7. By: Galí, Jordi
    Abstract: I examine the impact of alternative monetary policy rules on a rational asset price bubble, through the lens of an overlapping generations model with nominal rigidities. A systematic increase in interest rates in response to a growing bubble is shown to enhance the fluctuations in the latter, through its positive effect on bubble growth. The optimal monetary policy seeks to strike a balance between stabilization of the bubble and stabilization of aggregate demand. The paper's main findings call into question the theoretical foundations of the case for "leaning against the wind" monetary policies.
    Keywords: Asset price volatility; Leaning against the wind policies; Monetary policy rules; Stabilization policies
    JEL: E44 E52
    Date: 2013–02
  8. By: Chen, Xiaoshan; Kirsanova, Tatiana; Leith, Campbell
    Abstract: Most of the literature estimating DSGE models for monetary policy analysis assume that policy follows a simple rule. In this paper we allow policy to be described by various forms of optimal policy - commitment, discretion and quasi-commitment. We find that, even after allowing for Markov switching in shock variances, the inflation target and/or rule parameters, the data preferred description of policy is that the US Fed operates under discretion with a marked increase in conservatism after the 1970s. Parameter estimates are similar to those obtained under simple rules, except that the degree of habits is significantly lower and the prevalence of cost-push shocks greater. Moreover, we find that the greatest welfare gain sfrom the 'Great Moderation' arose from the reduction in the variances in shocks hitting the economy, rather than increased inflation aversion. However, much of the high inflation of the 1970s could have been avoided had policy makers been able to commit, even without adopting stronger anti-inflation objectives. More recently the Fed appears to have temporarily relaxed policy following the 1987 stock market crash, and has lost, without regaining, its post-Volcker conservatism following the bursting of the dot-com bubble in 2000.
    Keywords: Discretion; Commitment; Great Moderation; Optimal Monetary Policy; Interest Rate Rules; Bayesian Estimation
    Date: 2013–05
  9. By: Nicolò Pecora (Department of Economics and Social Sciences, Università Cattolica del Sacro Cuore); Alessandro Spelta (Department of Economics and Management, University of Pavia)
    Abstract: The late 2000s financial crisis resulted in the collapse of large financial institutions, in the bailout of banks by national governments and downturns in stock markets around the world. Such a large set of outcomes put classical economic thinking under huge pressure. The 2007 crisis made many policy makers in a state of ”shocked disbelief”, as Alan Greenspan declared. Furthermore the recent macroeconomic literature have been stressing the role of heterogeneous expectations in the formulation of monetary policy and recent laboratory experiments provided more evidence about this phenomenon. We use a simple model made by the standard aggregate demand function, the New Keynesian Phillips curve and a Taylor rule to deal with different issues, such as the stabilizing effect of different monetary policies in a system populated by heterogeneous agents. The response of the system depends on the ecology of forecasting rules, on agents sensitivity in evaluating the past performances of the predictors and on the reaction to inflation. In particular we investigate whether the policy makers can sharpen macroeconomic stability in the presence of heterogeneous expectations about future inflation and output gap and how this framework is able to reduce volatility and distortion in the whole system.
    Date: 2013–03
  10. By: Taylor, Alan M.
    Abstract: This paper analyzes the consequences of the internationalization of the Chinese renminbi for the global monetary system and its possible ascension to reserve currency status. In an unstable and financially integrated world, governments’ precautionary demand for reserve assets is likely to increase. But the world then risks a third crisis of the global reserve system, another re-run of the Triffin paradox, with an ever-growing emerging-world insurance demand loaded onto a small group of ever more strained net debt suppliers. Two ways to avoid this outcome would entail either expanding the supply of credible reserve liquidity to include some large emerging-market providers, or finding ways to manage emerging-market risks so as to moderate the perceived need for insurance, and China would have to loom large in both solutions.
    Keywords: China; international reserves; precautionary saving; renminbi; reserve currency; Triffin paradox
    JEL: F01 F02 F33
    Date: 2013–01
  11. By: Lamé, Gildas
    Abstract: This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more accurate estimates of the term premium incorporated into the Eurozone's sovereign yield curve. I then look for notable episodes of the monetary cycle where long yields display a puzzling behavior vis-à-vis the short rate in contrast with the Expectation Hypothesis. The Euro-area bond market appears to have gone through its own "Greenspan conundrum".At least three "conundra" episodes can be singled out in the Eurozone between January 1999 and August 2008. The term premium substantially contributed to these odd phenomena.
    Keywords: Affine term structure models; Unspanned macro risks; Monetary policy; Expectation Hypothesis; Term Premium; Macroeconomy
    JEL: C5 C51 E44 E5 E52 G12
    Date: 2013–03–18
  12. By: John Williams (Federal Reserve Bank of San Francisco); Eric Swanson (Federal Reserve Bank of San Francisco)
    Abstract: The zero lower bound on nominal interest rates has constrained the Federal Reserve's setting of the overnight federal funds rate for over three years running. According to many macroeconomic models, such an extended period of being stuck at the zero bound has important implications for the effectiveness of monetary and fiscal policies. However, economic theory also implies that households' and firms' decisions depend on the entire path of expected future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more to maturity are arguably the most relevant for the private sector, and it is unclear to what extent the zero lower bound has affected those rates. In this paper, we propose a novel approach to measure when and to what extent the zero lower bound affects interest rates of any maturity. We compare the sensitivity of interest rates of various maturities to macroeconomic news during periods when short-term interest rates are very low to that during normal times. We find that yields on Treasury securities with six months or less to maturity have been strongly affected by the zero bound during most or all of the period when the federal funds rate was near zero. In stark contrast to this finding, yields with more than two years to maturity have responded to economic news during the past three years in their usual way. One- and two-year Treasury yields represent an intermediate case, being partially constrained by the zero bound over part of the period when the funds rate was near zero. We provide two explanations for these results. First, market participants have consistently expected the zero bound to constrain policy for only about a year into the future, minimizing its effect on longer-term yields. Second, the Federal Reserve's unconventional policy actions may be offsetting the effects of the zero bound on longer-term yields.
    Date: 2012
  13. By: Di Bartolomeo Giovanni; Acocella Nicola; Tirelli Patrizio
    Abstract: We challenge the widely held belief that New-Keynesian models cannot predict optimal positive inflation rates. In fact these are justified by the Phelps argument that monetary financing can alleviate the burden of distortionary taxation. We obtain this result because, in contrast with previous contributions, our model accounts for public transfers as a component of fiscal outlays. We also contradict the view that the Ramsey policy should minimize inflation volatility and induce near-random walk dynamics of public debt in the long-run. In our model it should instead stabilize debt-to-GDP ratios in order to mitigate steady-state distortions. Our results thus provide theoretical support to policy-oriented analyses which call for a reversal of debt accumulated in the aftermath of the 2008 financial crisis.
    Keywords: trend in‡ation, monetary and …scal policy, Ramsey plan
    JEL: E52 E58 J51 E24
    Date: 2013–04
  14. By: Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis
    Abstract: In this paper we estimate spatial voting models for the analysis of the voting record of the monetary policy committee of the Bank of England. We use a flexible Bayesian approach for estimating such models. A simple modification to the standard spatial model as well as a variety of model checks are proposed to deal with the specifics of the data available. We provide evidence that extreme policy preferences are to be found among the external members. We also consider the variation in policy preferences according to career backgrounds. The median voter preference is similar for different backgrounds, except for those with a background in the industry where the median voter is more hawkish. The heterogeneity in policy preferences is the largest among academics and those with a background in the industry. The range of policy preferences is much smaller among other groups, in particular among monetary policy committee members with central bank experience who exhibit the lowest heterogeneity in policy preferences.
    Keywords: central banking; ideal points; voting record
    JEL: C11 E58 E59
    Date: 2013–04
  15. By: Pauw, Karl; Dorosh, Paul A.; Mazunda, John
    Abstract: This study demonstrates why devaluation was ultimately necessary in Malawi and also what its eventual impact might be in terms of prices, income distribution, and domestic production. Our approach is to use a computable general equilibrium (CGE) model to evaluate the economywide impacts of foreign exchange shortages in Malawi under two alternative exchange rate regimes. The foreign exchange shortages are modeled by simulating the effect of actual shocks, including tobacco price declines and reductions in direct budgetary support or foreign direct investments. We then evaluate the economy’s response to these shocks under a fixed exchange rate regime and a flexible exchange rate regime.
    Keywords: exchange rate; Devaluation of currency; foreign exchange rationing; Currencies; Computable General Equilibrium (CGE) model; Economic policy;,
    Date: 2013
  16. By: Eijffinger, Sylvester C W; Karatas, Bilge
    Abstract: The sovereign debt default and the linkages from banking and currency crisis have been rarely explored in the crisis literature. This study attempts to dive into this unexplored area by applying panel data binary choice model on a sample with 20 emerging countries having monthly observations for the years between 1985 and 2007. The non-linear linkages from currency and banking crises to sovereign defaults are explored by using the interactions of these crises with international illiquidity, appreciated real exchange rates and real international monetary policy rates. It is discovered that currency, banking and debt crises tend to occur simultaneously. Prior occurrence of a currency crisis increases the sovereign default probability through appreciated real exchange rates, and in countries with high short-term indebtedness the occurrence of banking crisis raises the probability of a debt crisis.
    Keywords: banking crisis; currency crisis; debt crisis; emerging markets
    JEL: F31 F41 G01 H63
    Date: 2013–03
  17. By: Edward N. Gamber (Lafayette College); Jeffrey P. Liebner (Lafayette College); Julie K. Smith (Lafayette College)
    Abstract: This paper presents evidence on the persistence of inflation in the United States over the period 1947- 2010. Of particular interest is whether the persistence of inflation has changed over that time period. We use a reduced form approach to measuring inflation persistence, modeling inflation as an autoregressive process. We measure persistence as the half-life of a shock to that process. Our analysis employs both a frequentist approach and a Bayesian approach to identify breaks in inflation persistence. Both our frequentist and Bayesian results indicate that inflation persistence has undergone significant changes over the past 60 years.
    Keywords: inflation, inflation persistence, Bayesian estimation
    JEL: C22 C32 E31 E32
    Date: 2013–04
  18. By: Jan Frait; Zlatuse Komarkova
    Abstract: This paper focuses on the way the macroprudential policy framework in a small EU economy should be designed. With reference to the experience of the Czech Republic's financial system and the Czech National Bank it provides definitions of financial stability and macroprudential policy as well as of their objectives. It then explains how systemic risk evolves over the financial cycle and outlines approaches to preventing systemic risk in the accumulation stage of the cycle and subsequently mitigating the materialisation of such risk if prevention fails. The paper argues that for the establishment of a macroprudential policy framework in a bank-based economy with a relatively simple and small financial sector, the phenomenon of procyclical behaviour has to stand centrally. Correspondingly, a macroprudential authority in such an economy has to look primarily at cyclically induced sources of systemic risks. Nevertheless, structural sources of systemic risks and associated instruments are discussed as well. The arguments for the recommended arrangements are supported by empirical investigations into the extent of procyclicality in European banks' lending behaviour and the contribution of the regulatory and accounting framework to it.
    Keywords: Financial stability, macroprudential policy, monetary policy, procyclicality, systemic risk.
    JEL: E52 E58 E61 G12 G18
    Date: 2012–12
  19. By: Reis, Ricardo
    Abstract: In spite of the mystique behind a central bank’s balance sheet, its resource constraint bounds the dividends it can distribute by the present value of seignorage, which is a modest share of GDP. Moreover, the statutes of the Federal Reserve or the ECB make it difficult for it to redistribute resources across regions. In a simple model of sovereign default, where multiple equilibria arise if debt repudiation lowers fiscal surpluses, the central bank may help to select one equilibrium. The central bank’s main lever over fundamentals is to raise inflation, but otherwise the balance sheet gives it little leeway.
    Keywords: central bank capital; Eurosystem; seignorage; sovereign debt crisis
    JEL: E58 F34
    Date: 2013–02
  20. By: Marco Huwiler; Daniel Kaufmann
    Abstract: This study documents the SNB's ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant benchmarks. In particular, estimating ARIMA models for individual CPI expenditure items and aggregating the forecasts from these models gives better results than directly applying the ARIMA methodto the total CPI. We then extend the model to factor in changes in the collection frequency of the Swiss CPI data and show that this extension further improves the forecasting performance.
    Keywords: Swiss CPI inflation, Forecast combination, Forecast aggregation, Disaggregateinformation, ARIMA models, Missing data, Kalman filter
    JEL: C22 C52 C53 E37
    Date: 2013
  21. By: Benchimol , Jonathan (ESSEC Business School)
    Abstract: This paper proposes a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where real money balances enter the production function. By using a Bayesian analysis, our model shows that money is not an omitted input to the production process and rejects the decreasing returns to scale hypothesis. Our simulations suggest that money plays a negligible role in the dynamics of output and inflation, despite its inclusion in the production function. In addition, we introduce the flexible-price real money balances concept.
    Keywords: Money in the production function; DSGE; Bayesian estimation
    JEL: E23 E31 E51
    Date: 2013–02
  22. By: KAWASAKI Kentaro
    Abstract: To utilize the Chiang Mai Initiative Multilateralization (CMIM) for crisis management, macroeconomic surveillance of the member economies should be ex-ante conditionality. Hence, the Association of Southeast Asian Nations (ASEAN) plus Three Macroeconomic Research Office (AMRO) was established to detect possibilities of economic crises and to prompt the restructuring or reforming of a rigid structure or system. Although monitoring the exchange rates of the currencies of these countries vis-à-vis the U.S. dollar is essential for surveillance, the AMRO should have an original tool to consider region-specific factors and more efficient tools than the International Monetary Fund (IMF) surveillance.<br />Therefore, this paper proposes utilizing a regional monetary unit (RMU) in monitoring exchange rates. Empirical analysis has confirmed that deviation indicators of RMUs such as the Asian Monetary Unit Deviation Indicators (AMU DI) are expected to be useful for macroeconomic surveillance. This paper also tries to define the country's equilibrium exchange rate vis-à-vis a RMU to provide useful statistical information about exchange rate misalignments among East Asian currencies by employing the permanent-transitory decomposition proposed by Gonzalo and Granger (1995).
    Date: 2013–04
  23. By: Obstfeld, Maurice
    Abstract: Because of recent economic crises, financial fragility has regained prominence in both the theory and practice of macroeconomic policy. Consistent with macroeconomic paradigms prevalent at the time, the original architecture of the euro zone assumed that safeguards against inflation and excessive government deficits would suffice to guarantee macroeconomic stability. Recent events, in both Europe and the industrial world at large, challenge this assumption. After reviewing the roots of the euro crisis in financial-market developments, this essay draws some conclusions for the reform of euro area institutions. The euro area is moving quickly to correct one flaw in the Maastricht treaty, the vesting of all financial supervisory functions with national authorities. However, the sheer size of bank balance sheets suggest that the euro area must also confront a financial/fiscal trilemma: countries in the euro zone can no longer enjoy all three of financial integration with other member states, financial stability, and fiscal independence, because the costs of banking rescues may now go beyond national fiscal capacities. Thus, plans to reform the euro zone architecture must combine centralized supervision with some centralized fiscal backstop to finance bank resolution and deposit insurance.
    Keywords: banking union; euro crisis; financial stability; trilemma
    JEL: E44 F36 G15 G21
    Date: 2013–04
  24. By: Raphael Schoenle (Brandeis University); Gauti Eggertsson (Federal Reserve Bank of New York); Saroj Bhattarai (Penn State University)
    Abstract: We study the implications of increased price flexibility on aggregate output volatility in a dynamic stochastic general equilibrium (DSGE) model. First, using a simplified version of the model, we show analytically that the results depend on the shocks driving the economy and the systematic response of monetary policy to inflation: More flexible prices amplify the effect of demand shocks on output if interest rates do not respond strongly to inflation, while higher flexibility amplifies the effect of supply shocks on output if interest rates are very responsive to inflation. Next, we estimate a medium-scale DSGE model using post-WWII U.S. data and Bayesian methods and, conditional on the estimates of structural parameters and shocks, ask: Would the U.S. economy have been more or less stable had prices been more flexible than historically? Our main finding is that increased price flexibility would have been destabilizing for output and employment.
    Date: 2012
  25. By: Knut Are Aastveit (Norges Bank (Central Bank of Norway) and the University of Oslo)
    Abstract: This paper examines the impact of different types of oil price shocks on the U.S. economy, using a factor-augmented VAR (FAVAR) approach. The results indicate that when examining the effects of oil price shocks, it is important to account for the interaction between the oil market and the macroeconomy. I find that oil demand shocks are more important than oil supply shocks in driving several macroeconomic variables, and that the origin of demand shocks matter. Specifically, the U.S. economy and monetary policy respond differently to global demand shocks that have the effect of raising the price of oil and to oil-specific demand shocks.
    Keywords: Oil demand shocks, Oil supply shocks, Business cycle, Monetary policy, Factor model, FAVAR
    JEL: C3 E31 E32 E4 E5 Q43
    Date: 2013–04–03

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