The identification of monetary policy disturbances: explaining the liquidity puzzle
The identification of monetary policy disturbances: explaining the liquidity puzzle
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货币政策扰动的识别：解释流动性难题
DOI：
10.1016/0304-3932(95)01197-v
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发表时间：
1995
影响因子：
4.1
通讯作者：
Steven Strongin
中科院分区：
文献类型：
--
作者：
Steven Strongin
本文考察了最近关于货币政策扰动识别的工作。其主要发现是，文献中发现的经验异常反映了未能正确解决联邦储备委员会适应储备需求冲击的政策。提出了一种利用非借入准备金识别货币政策的新方法。使用这个规格-政策具有很强的持续流动性效应，无论子样本-政策格兰杰-即使在利率存在的情况下，也会导致产出，解释两年期产出方差的约49%-利率对产出的剩余解释力可以忽略不计。
This paper examines recent work on the identification of monetary policy disturbances. Its main finding is that the empirical anomalies found in the literature reflect a failure to properly address the Federal Reserve's policy of accommodating reserve demand shocks. A new method of identifying monetary policy using nonborrowed reserves is proposed. Using this specification — policy has a strong persistent liquidity effect regardless of subsample — policy Granger-causes output even in the presence of interest rates, explaining approximately 49% of the variance in output at a two-year horizon — and the residual explanatory power of interest rates for output is negligible.