The Federal Funds Rate and the Monetary Transmission Mechanism

联邦基金利率和货币传导机制

• 批准号: 9308301
• 负责人: James Hamilton
• 金额: $ 12.81万
• 依托单位: University of California-San Diego
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1993
• 资助国家: 美国
• 起止时间: 1993-08-01 至 1996-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9308301&HistoricalAwards=false
• 关键词: Federal; Funds; Rate; Monetary; Transmission

9308301 Hamilton There is currently no consensus whatever among macroeconomists on the effect of monetary policy on the economy. Keynesian models suggest that faster monetary growth would lower the nominal interest rate by expanding the supply of credit, whereas classical models would predict that faster monetary growth could well raise the nominal interest rate as a result of inflationary expectations. The confusion and disagreements among academic economists notwithstanding, the people who work for the Federal Reserve's trading desk have the daily responsibility for using open market operations to keep the Federal funds rate trading within a narrow range. This project is designed to develop a convincing scientific measure of the effects that anticipated and unanticipated open market operations by the Federal Reserve have on nominal interest rates and real economy activity at horizons from one day to two years. This project has five components, each of which would comprise a separate and major research effort. The first step is to develop a statistical description of daily fluctuations in the Fed funds rate that is consistent with profit maximization by banks. The second step uses this description of the daily Fed funds market along with an analysis of banks' incentives for borrowing at the discount window to arrive at a prediction of the dynamic effects of open market operations on the Fed funds rate. The third step weeks independent verification of the predicted multipliers based on a biweekly vector autoregression (VAR); if the VAR proves to be inconsistent with the theoretical analysis, the framework will need to be modified accordingly. The fourth step uses term structure relations to predict the effects of open market operations on interest rates other than the Fed funds rate. Again it is possible to corroborate these predictions independently with vector autoregressions. The fifth step will use these results to assess the dynamic conseque nces of open market operations for unemployment, output, and inflation. ***

9308301汉密尔顿 目前，宏观经济学家对货币政策对经济的影响没有任何共识。 凯恩斯主义模型表明，更快的货币增长将通过扩大信贷供应来降低名义利率，而经典模型则预测，更快的货币增长很可能会因通胀预期而提高名义利率。 尽管学院派经济学家之间存在困惑和分歧，但为联邦交易部门工作的人每天都有责任利用公开市场操作，将联邦基金利率保持在一个狭窄的区间内。 该项目旨在制定一个令人信服的科学措施的影响，预期和非预期的公开市场操作的联邦储备对名义利率和真实的经济活动的视野从一天到两年。 该项目有五个组成部分，每个组成部分将包括一项单独的主要研究工作。 第一步是对联邦基金利率的每日波动进行统计描述，使其与银行的利润最大化相一致。 第二步使用对每日联邦基金市场的描述，沿着分析银行在贴现窗口借款的动机，以预测公开市场操作对联邦基金利率的动态影响。 第三步是基于双周向量自回归（VAR）对预测乘数进行独立验证;如果VAR被证明与理论分析不一致，则需要对框架进行相应修改。第四步，利用利率期限结构关系预测公开市场的影响 联邦基金利率以外的利率操作。 同样，可以用向量自回归独立地证实这些预测。 第五步将使用这些结果来评估公开市场操作对失业、产出和通胀的动态影响。 ***