A New Measure of Monetary Policy Shocks: Derivation and Implications

理解货币政策对经济的影响对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衡量货币政策冲击的方法，并用它来研究政策的影响。现有的货币政策措施，如联邦基金利率的变化，包括由其他因素引起的变化，而不是刻意的政策举措。它们还包括美联储根据可能的经济发展信息做出的政策调整。由于这些特点，依靠现有措施对政策效果的估计可能具有误导性。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，那么依赖于利率指标的政策效果估计可能会低估政策对产出的影响。拟议的研究将分两个步骤解决现有政策措施的这些局限性。首先，美联储在联邦公开市场委员会（FOMC）会议前后预期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密切关注基金利率的时期，这一系列将对应于联邦公开市场委员会会议上目标利率的变化。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，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动的成分，该成分代表了对可能的经济发展信息的反应。因此，货币政策冲击的结果系列将反映联邦公开市场委员会会议前后预期基金利率的变化，而这些变化不是根据有关经济预期路径的信息而采取的。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。将要研究的基本问题是实际经济活动和通货膨胀对政策反应的速度、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的措施（如实际基金利率）估计的反应，以解决更广泛的措施是否会产生对政策效果的偏见估计的问题。研究的其他部分将使用货币政策冲击的新措施来研究货币传导机制，并使用替代统计方法来检查新政策措施对政策对产出和通货膨胀的影响的影响。

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.