Monetary policy evaluation with noisy information

• 成果类型: Article; Proceedings Paper
• 署名作者: Orphanides, A
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(03)00027-8
• 发表日期: 2003
• 页码: 605-631
• 关键词: Policy evaluation; Taylor rule; optimal control; observation noise; inflation targeting; natural growth targeting

摘要

This study investigates the implications of noisy information regarding the measurement of economic activity for the evaluation of monetary policy. Using a simple model of the U.S. economy, I show that failing to account for the actual level of information noise in the historical data provides a seriously distorted picture of feasible macroeconomic outcomes and produces inefficient policy rules. Naive adoption of policies identified as efficient when this difficulty is ignored results in macroeconomic performance worse than actual experience. When the noise content of the data is properly taken into account, policy reactions are cautious and less sensitive to the apparent imbalances in the unfiltered data. The resulting policy prescriptions reflect the recognition that excessively activist policy can increase rather than decrease economic instability.