Drifts and volatilities: monetary policies and outcomes in the post WWIIUS
Drifts and volatilities: monetary policies and outcomes in the post WWIIUS
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DOI：
10.1016/j.red.2004.10.009
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发表时间：
2005-04-01
影响因子：
2
通讯作者：
Sargent, TJ
中科院分区：
文献类型：
--
作者：
Cogley, T;Sargent, TJ
对于具有漂移系数和随机波动性的VAR，我们给出了几个对象的后验密度，这些后验密度对于货币政策的设计和评估是有意义的。这些指标包括通货膨胀持续性、自然失业率、核心通货膨胀率和货币政策规则的“激进主义系数”。我们的后图暗示着这些物体在二战后的美国数据中有很大的变化。在对波动性的变化进行调整后，通胀的持续性在20世纪70年代增加，然后在80年代和90年代下降。创新差异会发生系统性的变化，在20世纪70年代末比其他时期要大得多。衡量核心通胀率的不确定性和持久度之间存在正相关。我们使用我们的后验分布来评估已被用来检验VAR的自回归系数的时间不变性的零假设相对于时变系数替换的检验的能力。除了一个，我们发现这些测试对我们的模型捕捉到的时间变化形式的能力很低。(C)2005 Elsevier Inc.保留所有权利。
For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are pertinent for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and `activism coefficients' for monetary policy rules. Our posteriors imply substantial variation of all of these objects for post WWII US data. After adjusting for changes in volatility, persistence of inflation increases during the 1970s, then falls in the 1980s and 1990s. Innovation variances change systematically, being substantially larger in the late 1970s than during other times. Measures of uncertainty about core inflation and the degree of persistence covary positively. We use our posterior distributions to evaluate the power of several tests that have been used to test the null hypothesis of time-invariance of autoregressive coefficients of VARs against the alternative of time-varying coefficients. Except for one, we find that those tests have low power against the form of time variation captured by our model. (c) 2005 Elsevier Inc. All rights reserved.