/Innovation-Productivity-and-Monetary-Policy

Replication materials for "Innovation, Productivity, and Monetary Policy" by Moran and Queralto (2018)

Primary LanguageMATLABGNU General Public License v3.0GPL-3.0

Innovation, Productivity, and Monetary Policy

Replication materials for "Innovation, Productivity, and Monetary Policy" by Patrick Moran and Albert Queralto (2018)

Abstract: To what extent can monetary policy impact business innovation and productivity growth? We use a New Keynesian model with endogenous total factor productivity (TFP) to quantify the TFP losses due to the constraints on monetary policy imposed by the zero lower bound (ZLB) and the TFP benefits of tightening monetary policy more slowly than currently anticipated. In the model, monetary policy influences firms’ incentives to develop and implement innovations. We use evidence on the dynamic effects of R&D and monetary shocks to estimate key parameters and assess model performance. The model suggests significant TFP losses due to the ZLB.

Replication Materials

The 3 folders contain materials to produce the following set of results:

(1) Empirical evidence on the impact of R&D shocks and monetary policy shocks

  • "SmallScaleVAR.do" estimates small-scale R&D VAR
  • "LargeScaleVAR.do" estimates large-scale R&D VAR
  • "LargeScaleVAR.do" estimates monetary VAR

(2) Model estimation using impulse response matching

  • "Estimation.m" launches model estimation
  • Output includes Figures 2,5,6 in the paper

(3) Model results and experiments

  • Files "Replic_Fig*.m" produce output corresponding to Figures 3,4,7,8,9 in the paper