The Federal Funds Rate and the Monetary Transmission Mechanism

9308301汉密尔顿关于货币政策对经济的影响，目前宏观经济学家之间还没有达成任何共识。凯恩斯模型表明，更快的货币增长将通过扩大信贷供应来降低名义利率，而经典模型将预测，由于通胀预期，更快的货币增长很可能会提高名义利率。尽管学术经济学家之间存在困惑和分歧，但美联储交易部门的工作人员每天都有责任使用公开市场操作，将联邦基金利率交易保持在一个狭窄的区间内。该项目旨在开发一种令人信服的科学衡量标准，以衡量美联储预期和意外的公开市场操作在一天至两年的时间内对名义利率和实体经济活动的影响。该项目有五个组成部分，每个组成部分都将构成一个单独的主要研究成果。第一步是制定符合银行利润最大化的联邦基金利率每日波动的统计描述。第二步利用对每日联邦基金市场的这种描述，以及对银行在贴现窗口借款的动机的分析，得出公开市场操作对联邦基金利率的动态影响的预测。第三步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，框架将需要进行相应的修改。第四步使用期限结构关系来预测公开市场操作对联邦基金利率以外的利率的影响。同样，用向量自回归独立地证实这些预测是可能的。第五步将使用这些结果来评估公开市场操作对失业率、产出和通胀的动态后果。***

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. ***