The cost channel reconsidered : a comment using an identification-robust approach

• Author(s): Gabriel, Vasco J. ; Martins, Luís F.
• Date: 2010
• Persistent ID: http://hdl.handle.net/1822/11657
• Origin: RepositóriUM - Universidade do Minho
• Subject(s): Cost channel; Phillips curve; GMM; Generalized empirical likelihood; Weak identification
• Document Type: Research paper
• Language: English

Description

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly identified and we are thus unable to corroborate the previous results in the literature.