A New Measure of Monetary Policy Shocks: Derivation and Implications

货币政策冲击的新衡量标准：推导和影响

• 批准号: 9911443
• 负责人: Christina Romer
• 金额: $ 26.36万
• 依托单位: University of California-Berkeley
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-04-01 至 2005-03-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9911443&HistoricalAwards=false
• 关键词: New; Measure; Monetary; Policy; Shocks

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.

了解货币政策对经济的影响对于宏观经济学的基础学术研究和货币政策的实际实施都很重要。拟议的研究将开发一种新的货币政策冲击衡量标准，并用它来研究政策的影响。现有的货币政策衡量标准，例如联邦基金利率的变化，包括由有意的政策举措以外的来源引起的变化。其中还包括美联储根据有关可能的经济发展的信息而做出的政策变化。由于这些特征，依赖现有措施的政策效果估计可能会产生误导。例如，如果美联储在得知其他力量正在采取行动减少未来产出时通常会降低利率，那么依赖利率衡量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，根据联邦公开市场委员会（FOMC）的叙述记录和纽约联邦储备银行公开市场部门的定量报告，将得出一系列关于联邦公开市场委员会（FOMC）会议时间前后美联储预期联邦基金利率变化的数据。在 FOMC 密切关注基金利率的时期，该系列将对应于赢得 FOMC 会议而做出的目标利率变化。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影响的信念。其次，也是至关重要的，美联储在联邦公开市场委员会会议前不久做出的经济预测将被用来消除美联储预期联邦基金利率变化的组成部分，这些变化代表了对可能的经济发展信息的反应。因此，由此产生的货币政策冲击系列将反映 FOMC 会议前后预期基金利率的变化，而这些变化并不是针对有关经济预期路径的信息而采取的。该研究将继续使用新的政策冲击衡量标准来检验政策对经济的影响。将研究的基本问题是实际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，该研究还将使用新政策措施估计的反应与使用更广泛措施（例如实际基金利率）估计的反应进行比较，以解决更广泛措施是否会产生对政策影响的有偏差估计的问题。研究的其他部分将使用新的货币政策冲击措施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政策对产出和影响的影响。 通货膨胀。