A New Measure of Monetary Policy Shocks: Derivation and Implications

了解货币政策对经济的影响，无论是对宏观经济学的基础理论研究，还是对货币政策的实际操作，都具有重要意义。拟议中的研究将开发一种新的衡量货币政策冲击的方法，并将其用于研究政策的影响。现有的衡量货币政策的方法，如联邦基金利率的变化，包括源于故意政策举措以外的来源的变化。它们还包括联邦（Fed）根据可能的经济发展信息做出的政策调整。由于这些特点，依赖现有措施对政策效果的估计可能会产生误导。例如，如果联邦在得知其他力量正在减少未来产出时通常会降低利率，那么依赖于利率措施的政策效果估计可能会低估政策对产出的影响。拟议的研究将分两步解决现有政策措施的这些局限性。首先，联邦公开市场委员会（FOMC）会议时间前后联邦计划的联邦基金利率的一系列变化将从FOMC的叙述记录和纽约联邦储备银行公开市场部门的量化报告中得出。在联邦公开市场委员会（FOMC）密切关注基金利率的时期，该系列将对应于FOMC会议期间目标利率的变化。在其他时期，该系列将反映联邦公开市场委员会对其政策行动对基金利率的预期后果的看法。其次，也是至关重要的一点是，联邦在FOMC会议前不久做出的经济预测将被用来消除联邦计划中的联邦基金利率变化中代表对可能的经济发展信息的反应的成分。因此，货币政策冲击的序列将反映FOMC会议前后，没有根据经济的预期路径信息进行调整的基金利率的变化。本研究将继续使用新的政策冲击指标来考察政策对经济的影响。将研究的基本问题是真实的经济活动和通货膨胀对政策的反应的速度、幅度和时间模式。此外，该研究将比较使用新政策措施估计的反应与使用更广泛措施估计的反应，如实际资金利率，研究的其他部分将使用货币政策冲击的新衡量标准来研究货币传导机制，并使用替代统计方法来检验新政策措施对产出和通货膨胀的影响。

Understanding the effects of monetary policy on the economy is important for both basic academic research in macroeconomics and the practical conduct of monetary policy. The proposed research will develop a new measure of monetary policy shocks and use it to study the impact of policy.Existing measures of monetary policy such as the change in the federal funds rate, include changes stemming from sources other than deliberate policy moves. They also include policy changes the Federal Reserve made in response to information about likely economic developments. Because of these features, estimates of the effects of policy that rely on existing measures may be misleading. For example, if the Federal Reserve typically reduces interest rates when it has information that other forces are acting to reduce future output, estimates of the effects of policy that rely on measures of interest rates are likely to understate the impact of policy on output.The proposed research will address these limitations of the existing policy measures in two steps. First, a series for changes in the Federal Reserve's intended federal funds rate around meeting times of the Federal Open Market Committee (FOMC) will be derived frown the narrative records of the FOMC and the quantitative reports of the open market desk of the Federal Reserve Bank of New York. In periods when the FOMC was targeting the funds rate closely, this series will correspond to changes in the target rate made in connection win FOMC meetings. In other periods, the series will reflect the FOMC's beliefs about the expected consequences for the funds rate of its policy actions. Second, and crucially, the Federal Reserve's economic forecasts made shortly before FOMC meetings will be used to eliminate the component of changes in the Federal Reserve's intended federal funds rate that represents responses to information about likely economic developments. Thus, the resulting series for monetary policy shocks will reflect changes in the intended funds rate around FOMC meetings that were not taken in response to information about the expected path of the economy.The research will proceed to use the new measure of policy shocks to examine the impact of policy on the economy. The basic issues that will be investigated are the speed, magnitude, and time pattern of the responses of real activity and inflation to policy. In addition, the research will compare the responses estimated using the new policy measure with responses estimated using broader measures, such as the actual funds rate, to address the question of whether the broader measures yield biased estimates of the effects of policy.Additional portions of the research will use the new measure of monetary policy shocks to study the monetary transmission mechanism and use alternative statistical methods to examine the implications of the new policy measure for the impact of policy on output and inflation.