Events at CERGE-EI

Dr. Roberto Pancrazi
Toulouse School of Economics, France

Authors: Roberto Pancrazi and Marija Vukotić

Abstract:

In this paper, by using several statistical tools, we provide evidence of an increase in the persistence of the process for total factor productivity in the U.S.. In a forward looking model, the agents base their optimal behavior on the autocorrelation structure of the exogenous shock. Since many monetary models are driven by exogenous TFP, we study the interaction between monetary policy and TFP persistence. Considering a New-Keynesian model, first, we derive analitically the interaction between TFP persistence, monetary policy parameters, and output gap and inflation. Second, we show that TFP persistence affects the optimal behavior of the monetary policy.

Full Text: “TFP persistence and Monetary Policy”