Monetary policy shocks: Testing identification conditions under time-varying conditional volatility

• 成果类型: Article
• 署名作者: Normandin, M; Phaneuf, L
• 署名单位: Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; University of Quebec; University of Quebec Montreal; University of Quebec; University of Quebec Montreal
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.11.002
• 发表日期: 2004
• 页码: 1217-1243
• 关键词: conditional heteroscedasticity; monetary policy indicators; orthogonality conditions

摘要

We propose an empirical procedure, which exploits the conditional heteroscedasticity of fundamental disturbances, to test the targeting and orthogonality restrictions imposed in the recent VAR literature to identify monetary policy shocks. Based on U.S. monthly data for the post-1982 period, we reject the non-borrowed-reserve and interest-rate targeting procedures. In contrast, we present evidence supporting targeting procedures implying more than one policy variable. We also always reject the orthogonality conditions between policy shocks and macroeconomic variables. We show that using invalid restrictions often produces misleading policy measures and dynamic responses. These results have important implications for the measurement of policy shocks and their temporal effects as well as for the estimation of the monetary authority's reaction function. (C) 2004 Elsevier B.V. All rights reserved.