Monetary Policy Risk: Rules versus Discretion

• 成果类型: Article
• 署名作者: Backus, David K.; Chernov, Mikhail; Zin, Stanley E.; Zviadadze, Irina
• 署名单位: New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Los Angeles; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab090
• 发表日期: 2022
• 页码: 2308
• 关键词: term structure; interest-rates; yield curve; DECOMPOSITION; inflation; prices; identification; STOCK

摘要

Long-run asset pricing restrictions in a macro term structure model identify discretionary monetary policy separately from a policy rule. We find that policy discretion is an important contributor to aggregate risk. In addition, discretionary easing coincides with good news about the macroeconomy in the form of lower inflation, higher output growth, and lower risk premiums on short-term nominal bonds. However, it also coincides with bad news about long-term financial conditions in the form of higher risk premiums on long-term nominal bonds. Shocks to the rule correlate with changes in the yield curve's level. Shocks to discretion correlate with changes in its slope.