FOLLOWING GERMANY'S LEAD: USING INTERNATIONAL MONETARY LINKAGES TO ESTIMATE THE EFFECT OF MONETARY POLICY ON THE ECONOMY

• 成果类型: Article
• 署名作者: di Giovanni, Julian; McCrary, Justin; von Wachter, Till
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; Columbia University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.91.2.315
• 发表日期: 2009-05
• 页码: 315-331
• 关键词: exchange-rates; rules; interwar; trilemma

摘要

Forward-looking behavior on the part of the monetary authority makes it difficult to estimate the effect of monetary policy interventions on output. We present instrumental variables estimates of the impact of interest rates on quarterly real output for several European countries, using German interest rates as the instrument. These estimates confirm a strong forward-looking bias in least squares estimates that persists even conditional on standard controls for the history of the system. Due to the potential for correlation of output shocks across countries, we interpret our estimates as lower bounds for the effect of monetary policy on real output.