Measuring monetary policy

• 成果类型: Article
• 署名作者: Bernanke, BS; Mihov, I
• 署名单位: Princeton University; National Bureau of Economic Research; INSEAD Business School
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1162/003355398555775
• 发表日期: 1998
• 页码: 869-902
• 关键词: RESERVE OPERATING PROCEDURE; TIME-SERIES FACTS; identification; rates

摘要

We develop a model-based, VAR methodology for measuring innovations in monetary policy and their macroeconomic effects. Using this framework, we are able to compare existing approaches to measuring monetary policy shocks and derive a new measure of policy innovations based directly on (possibly time-varying) estimates of the central bank's operating procedures. We also propose a new measure of the overall stance of policy (including the endogenous or systematic component) that is consistent with our approach.