The effects of quasi-random monetary experiments

• 成果类型: Article
• 署名作者: Jorda, Oscar; Schularick, Moritz; Taylor, Alan M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; University of Bonn; Centre for Economic Policy Research - UK; University of California System; University of California Davis; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.021
• 发表日期: 2020
• 页码: 22-40
• 关键词: Interest rates; Monetary experiments; trilemma; Fixed exchange rates; instrumental variables; local projections; Local average treatment effect

摘要

The trilemma of international finance explains why interest rates in countries that fix their exchange rates and allow unfettered cross-border capital flows are outside the monetary authority's control. Based on this exogenous source of variation, we show that monetary interventions have large and significant effects using historical panel data since 1870. The causal effect of these interventions depends on whether: (1) the economy is above or below potential; (2) inflation is low; and (3) there is a credit boom in mortgage markets. Several novel control function adjustments account for potential spillover effects. The results have important implications for monetary policy. Published by Elsevier B.V.