Has Us Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
Has Us Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
复制标题
美国货币政策变了吗？
DOI：
10.3386/w11314
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Jean Boivin
中科院分区：
文献类型：
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作者：
Jean Boivin
尽管对货币政策规则进行了大量的实证研究，但令人惊讶的是，人们对美国货币政策行为的性质甚至是否存在变化几乎没有共识。三个问题似乎是这种分歧的核心：1)政策系数变化的具体类型，2)异方差的处理，以及3)所使用数据的实时性。本文在具有漂移系数的前瞻性泰勒规则的背景下解决了这些问题。该估计基于实时数据，并考虑到政策冲击中存在的异方差。研究结果表明，规则系数发生了重要但渐进的变化，而通常的分样本估计无法充分捕捉到这些变化。与Orphanides（2002,2003）相反，我发现美联储在1970年代后半期对通胀实时预测的反应很弱，这可能不符合Clarida， Galii和Gertler（2000）提出的Taylor原则。然而，在1973年之前，对通货膨胀的反应是强烈的，并从1980年代初开始逐渐恢复了力量。此外，正如欧菲尼德斯（Orphanides, 2003）所述，在上世纪70年代，美联储对实际经济活动的反应大幅且持续下降。
Despite the large amount of empirical research on monetary policy rules, there is surprisingly little consensus on the nature or even the existence of changes in the conduct of U.S. monetary policy. Three issues appear central to this disagreement: 1) the specific type of changes in the policy coefficients, 2) the treatment of heteroskedasticity, and 3) the real-time nature of the data used. This paper addresses these issues in the context of forward-looking Taylor rules with drifting coefficients. The estimation is based on real-time data and accounts for the presence of heteroskedasticity in the policy shock. The findings suggest important but gradual changes in the rule coefficients, not adequately captured by the usual split-sample estimation. In contrast to Orphanides (2002, 2003), I find that the Fed's response to the real-time forecast of inflation was weak in the second half of the 1970's, perhaps not satisfying Taylor's principle as suggested by Clarida, Galii and Gertler (2000). However, the response to inflation was strong before 1973 and gradually regained strength from the early 1980's onward. Moreover, as in Orphanides (2003), the Fed's response to real activity fell substantially and lastingly during the 1970's.