A unified measure of Fed monetary policy shocks
成果类型：
Article
署名作者：
Bu, Chunya; Rogers, John; Wu, Wenbin
署名单位：
University of Rochester; Federal Reserve System - USA; Federal Reserve System Board of Governors; Fudan University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2020.11.002
发表日期：
2021
页码：
331-349
关键词：
摘要：
We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometric procedure, a partial least squares approach, and our using the full maturity spectrum of interest rates in estimating the shock. We find that shocks to our monetary policy series have particularly large effects on maturities in the middle of the term structure and produce conventionally-signed impulse responses of output and inflation. (C) 2020 Elsevier B.V. All rights reserved.
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