The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom

• 成果类型: Article
• 署名作者: Cloyne, James; Huertgen, Patrick
• 署名单位: Bank of England; Center for Economic & Policy Research (CEPR); Deutsche Bundesbank
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150093
• 发表日期: 2016
• 页码: 75-102
• 关键词: tax changes; interest-rates; shocks; rules; surprises

摘要

This paper estimates the effects of monetary policy based on a new, extensive real-time dataset for the United Kingdom. Employing the Romer-Romer identification approach we construct a new measure of monetary policy innovations and find that a 1 percentage point increase in the policy rate reduces output by 0.6 percent and inflation by up to 1 percentage point after 2 to 3 years. Our use of forecast data is shown to be crucial and that their omission generates the well-known price puzzle. Our estimates are more comparable to the wider VAR literature but we also reconcile our findings with the Romer-Romer estimates for the United States.