Estimating the Market-Perceived Monetary Policy Rule

• 成果类型: Article
• 署名作者: Hamilton, James D.; Pruitt, Seth; Borger, Scott
• 署名单位: University of California System; University of California San Diego; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.3.3.1
• 发表日期: 2011
• 页码: 1-28
• 关键词: interest-rates; term structure; announcements; inflation; frequency; forecasts; shocks

摘要

We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target. (JEL C51, E31, E43, E52, E58)