Identifying VARS based on high frequency futures data

• 成果类型: Article
• 署名作者: Faust, J; Swanson, ET; Wright, JH
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.11.001
• 发表日期: 2004
• 页码: 1107-1131
• 关键词: Monetary policy; identification; Fed Funds futures; FOMC

摘要

Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard VAR. This alternative approach to identification is quite different, and, we argue, more plausible, than the conventional identifying restrictions. We find that a usual recursive identification of the model is rejected, as is any identification that insists on a monetary policy shock having an exactly zero effect on prices contemporaneously. We nevertheless agree with the conclusion of much of the VAR literature that only a small fraction of the variance of output can be attributed to monetary policy shocks. (C) 2004 Elsevier B.V. All rights reserved.