Federal Reserve Credibility and the Term Structure

美联储的信誉和期限结构

• 批准号: 1459879
• 负责人: Aeimit Lakdawala
• 金额: $ 9.96万
• 依托单位: Michigan State University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2015
• 资助国家: 美国
• 起止时间: 2015-05-01 至 2018-04-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1459879&HistoricalAwards=false
• 关键词: Federal; Reserve; Credibility; Term; Structure

The award funds research on the relationship between monetary policy and the term structure of interest rates (how interest rates with the length/term of a loan). Understanding this relationship is important for central bankers, who need to understand how their actions affect long-term interest rates and therefore the economy as a whole. Investors also want to understand this relationship, because it is important for making the best possible investment decisions. Previous research has demonstrated that the credibility of a central bank is an important factor in this relationship. If a central bank has no credibility, then its current decisions do not affect investors' expectations about the future and likely future interest rates. Alternative, a bank might have "full commitment", where it chooses a monetary policy rule and does not make any changes in that rule over long time periods. This project defines commitment possibilities between these two options, in which a central bank has the ability to commit to future plans but may sometimes revise these plans. The research team will use data and a model of the US economy to identify past periods where the Federal Reserve made changes in previous commitments and will then explore how these episodes affected term structures. The results of the project will give policymakers and investors new insight into the pros and cons of central bank commitments.The project considers a general framework of optimal monetary policy where credibility is defined as the ability to commit to previously announced plans; this nests the commonly used cases in the literature of full commitment and no commitment. The definition of credibility is based on the theoretical literature on time-inconsistency and estimated within a fully optimizing model. The estimation framework uses recent Bayesian econometric techniques in the context of regime-switching models which allows the identification of historical episodes where Fed re-optimizations were more likely to have occurred. The project will evaluate the quantitative effects of re-optimization episodes on the term premium.

该奖项资助研究货币政策与利率期限结构之间的关系（利率如何与贷款期限/期限）。 理解这种关系对中央银行家来说很重要，他们需要了解他们的行动如何影响长期利率，从而影响整个经济。 投资者也想了解这种关系，因为它对做出最佳投资决策很重要。以往的研究表明，中央银行的信誉是这种关系的一个重要因素。 如果一家央行没有公信力，那么它目前的决策就不会影响投资者对未来和未来可能利率的预期。 另一种选择是，银行可能有“完全承诺”，即它选择一项货币政策规则，并且在很长一段时间内不对该规则进行任何修改。 该项目定义了这两种选择之间的承诺可能性，其中中央银行有能力承诺未来的计划，但有时可能会修改这些计划。 该研究团队将利用美国经济的数据和模型，确定联邦（Fed）在过去的几个时期对先前的承诺做出了改变，然后将探讨这些事件如何影响期限结构。 该项目的结果将使政策制定者和投资者对中央银行承诺的利弊有新的认识。该项目考虑了最优货币政策的一般框架，其中可信度被定义为承诺先前宣布的计划的能力;这嵌套了文献中常用的完全承诺和没有承诺的情况。 可信度的定义是基于时间不一致性的理论文献，并在一个完全优化的模型中估计。 估计框架使用最近的贝叶斯计量经济学技术的背景下，政权转换模型，允许识别历史事件，美联储重新优化更有可能发生。 该项目将评估重新优化事件对期限溢价的定量影响。