Il Meccanismo di Trasmissione di Politica Monetaria: Un paragone tra Differenti Metodologie di Identificazione

Expectations are one of the fundamentals concerns about modern day economics. Many actions taken by economic agents hinge about their expectations about the future. However how those expectations are formed and how we can model this process remains dubious. Ranging from the simple models of adaptive expectations to the modern full-information rational expectations models, economists have tried a vast number of different approaches, yielding radically different results. In this work I will try to give a brief insight of some of the most important methodologies that applied informational rigidities in the field of monetary policy analysis. We proceed in steps. First, in the remaining part of the introduction chapter I will provide a brief summary of the functioning of VAR instruments for the identification of monetary policy shocks, as all the instruments we will analyze in the next pages will utilize this baseline methodology. In the last part of the introduction chapter, I will briefly mention the most important features of the Fed environment, as all of the empirical results I will report later will be set in this particular system. The construction of the three instruments analyzed will be described in section I, where I will try to show the main features of each model and the main motivation behind the authors choices of how to deal with the identification problem. A first insight of the reasons behind the puzzling results of the first two models will be already reported in this section. In section II I will provide some empirical results, discussing some of the main features of the transmission of the monetary shocks in the Fed environment while also showing some of the main responses of the Fed to various economic shocks. A comparison between the instruments by following the same pattern as Agrippino and Ricco (2021) will be reported in the last part of Section II, where I will enlighten the differences between the results of the three models presented in Section I. Finally, in section III, some conclusions regarding the instruments discussed in the previous sections will be reported, and I will try to remark the strength and weaknesses of each approach.