Measuring the aggregate effects of Unconventional Monetary Policies

2007年夏天，美国经济经历了一场金融危机，房地产泡沫的破裂以及日益严重的失衡在其中发挥了重要作用。这次金融危机被认为是自“大萧条”以来最严重的一次，其影响波及全球经济。在这一点上，对央行和现有政策工具作用的长期信念受到了挑战。在“正常时期”，货币政策利率（主要再融资操作的利率）通常是与企业和家庭相关的其他利率的基准。中央银行利率的变化通常会导致家庭和企业融资成本的变化。然而，在金融市场出现严重混乱的时期，货币政策的传导渠道出现了各种问题，导致货币政策效率低下。尽管各国央行试图通过操纵利率来缓解衰退，但很快就发现，传统的货币政策工具对恢复经济福利的影响不够大。我的目的是评估中央银行（欧洲中央银行（ECB）、美联储（Fed）和英格兰银行（BOE））在金融危机爆发后为促进经济活动而执行的非标准政策工具。特别是，对于每个货币联盟，我将评估所采取的措施及其对关键宏观经济变量的共同影响。此外，我将重点关注这些行动的传导渠道如何在受损银行的恢复过程中发挥作用。为了估计这些政策对经济的影响，我将使用在宏观经济建模中广为人知的贝叶斯方法。通过整合大量经济变量的数据集来实现贝叶斯VAR模型应该产生有意义的推论。这种类型的模型在分析利率变化和经济活动之间的相互联系时非常有用（Kapetanios et al. 2009）。此外，脉冲响应的符号限制可以在很大程度上捕捉货币政策引起的冲击（Baumeister and Benati 2010）。另一个关键问题是，随着时间的推移，政策的传导机制是否会发生变化。我建议使用uhlight（2005）的时变结构模型允许时间变化，这也可以揭示经济如何反应以及随着时间的推移对这些冲击的反应程度。我加强央行沟通工具的方法是，将“新闻”系列纳入标准VAR，并首先对其进行排序。Perotti（2011）将这些模型称为“预期var”。为了使我的结果对联邦储备委员会的货币政策具有强大的说服力，我可能会使用联邦基金的影子利率，它捕捉了零利率环境下的非常规措施，如量化宽松（Wu and Xia 2016）。本文提出的研究旨在检验中央银行采用的非常规措施。通过引入中央银行作为一种非常规机制的沟通作用，并制定包括所有替代措施的联合模型，我希望能为学术文献做出贡献，并进一步拓展经济学领域。这项研究还旨在揭示非常规货币政策是否有潜力成为央行的标准工具，以及在何种情况下。

In the summer of 2007, the US economy experienced a financial meltdown in which the burst of real estate bubble in conjunction with vast and growing imbalances played a significant role. This financial crisis is considered to be the worst since "The Great Depression", as its effects rippled throughout the global economy. At this point, the long-lasting beliefs about the role of Central Banks and existing policy instruments were challenged. During "normal times", the monetary policy rate (the rate of the main refinancing operations) is the usual benchmark for other interest rates relevant to firms and households. Changes in the rate by Central Banks, normally cause subsequent changes in the financing costs of households and firms. However, during times of severe disruption within the financial markets, a variety of problems emerge in the transmission channels, rendering the monetary policy inefficient. Despite the attempts of the Central Banks to mitigate recession by manipulating interest rates, it soon became evident that the conventional monetary policy toolkit was not influential enough, to restore the economic welfare. My aim is to evaluate the non-standard policy tools that the Central Banks [the European Central Bank (ECB), Federal Reserve (Fed) and Bank of England ( BOE)] executed in order to boost economic activity from the onset of the financial crisis. In particular, for each currency union, I will assess the measures undertaken and their joint impact on key macroeconomic variables. Furthermore, I will give critical focus on how the transmission channels of those actions performed in the restoration process of the impaired banks.MethodologyTo estimate the impact of these policies on the economy, I will use the Bayesian Methods which are widely known in macroeconomic modeling. The implementation of a Bayesian VAR model by incorporating large data sets of economic variables should yield to meaningful inferences. This type of models is useful when analysing interconnections between changes in interest rates and economic activity (Kapetanios et al. 2009). In addition, the sign restrictions on the impulse responses can capture to a great extent the shocks caused by monetary policy (Baumeister and Benati 2010). Another crucial issue is whether there are changes in the transmission mechanism of the policies over time. I propose to allow time variation using a time-varying structural model as Uhlig (2005) which can, also, shed light on how the economy reacted and to what extent over time to those shocks.My approach to enhance the communication tool of the Central Banks will be by incorporating the "news" series to a standard VAR, and ordering it first. Perotti (2011) has called these models "Expectational VARs". To make my results robust to the Federal Reserve Boards monetary policy, I will possibly use the federal funds' shadow rate which captures unconventional measures such as QE in the zero lower bound environment (Wu and Xia 2016).ConclusionsThe proposed research aims to examine the unconventional measures employed by Central Banks. By introducing the role of communication from Central Banks as an unconventional mechanism and formulating joint models that include all of the alternative measures, I expect to contribute to the academic literature and further expand the field of economics. This research, also, intends to shed light on whether unconventional monetary policies have the potential to become a standard tool for Central Banks and under which circumstances.