Using private forecasts to estimate the effects of monetary policy

• 成果类型: Article
• 署名作者: Thapar, Aditi
• 署名单位: New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.05.001
• 发表日期: 2008
• 页码: 806-824
• 关键词: Monetary policy; vector autoregression; impulse response; forecasts

摘要

I develop a methodology that uses the forecasts of market participants and of policy makers to estimate the effects of monetary policy on output and inflation. My approach has advantages over the standard practice of fitting a vector autoregression to the data. I apply my methodology to data on output, interest rates and prices. I find that, even using the Federal Reserve Board's Greenbook forecasts to control for the policy maker's information set, prices rise initially in response to a monetary contraction. This finding undermines the standard justification for including an index of commodity prices in VARs. (c) 2008 Elsevier B.V. All rights reserved.