计量经济分析 = Econometric analysis

This paper develops a dynamic general equilibrium model that is intended to help clarify the role of credit market frictions in business fluctuations, from both a qualitative and a quantitative standpoint. The model is a synthesis of the leading approaches in the literature. In particular, the framework exhibits a financial accelerator,' in that endogenous developments in credit markets work to amplify and propagate shocks to the macroeconomy. In addition, we add several features to the model that are designed to enhance the empirical relevance. First, we incorporate money and price stickiness, which allows us to study how credit market frictions may influence the transmission of monetary policy. In addition, we allow for lags in investment which enables the model to generate both hump-shaped output dynamics and a lead-lag relation between asset prices and investment, as is consistent with the data. Finally, we allow for heterogeneity among firms to capture the fact that borrowers have differential access to capital markets. Under reasonable parametrizations of the model, the financial accelerator has a significant influence on business cycle dynamics.

https://papers.ssrn.com/sol3/Delivery.cfm/nber_W6455.pdf?abstractid=226200&mirid=1

The Financial Accelerator in a Quantitative Business Cycle Framework

This paper reviews the recent literature on monetary policy rules. To organize the discussion, we exposit the monetary policy design problem within a simple baseline theoretical framework. We then consider the implications of adding various real word complications. We concentrate on developing results that are robust across a reasonable variety of competing macroeconomic frameworks. Among other things, we show that the optimal policy implicitly incorporates inflation targeting. We also characterize the gains from making credible commitments to fight inflation and consider the implications of frictions such as imperfect information and model uncertainty. Finally, we assess how proposed simple rules, such as the Taylor rule, square with the principles for optimal policy that we describe. We use this same metric to evaluate the recent course of U.S. monetary policy.

/pdf/the-science-of-monetary-policy-a-new-keynesian-perspective-2513aj8m00.pdf

The Science of Monetary Policy: A New Keynesian Perspective

We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization.

/pdf/nominal-rigidities-and-the-dynamic-effects-of-a-shock-to-24aok45g1c.pdf

Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy

The paper reviews the recent literature on monetary policy rules. We exposit the monetary policy design problem within a simple baseline theoretical framework. We then consider the implications of adding various real world complications. Among other things, we show that the optimal policy implicitly incorporates inflation targeting. We also characterize the gains from making a credible commitment to fight inflation. In contrast to conventional wisdom, we show that gains from commitment may emerge even if the central bank is not trying to inadvisedly push output above its natural level. We also consider the implications of frictions such as imperfect information.

/pdf/the-science-of-monetary-policy-a-new-keynesian-perspective-1hk1n82x2a.pdf

This paper uses a single time frame and data set to present and analyze the results that have emerged from the recent empirical literature on the effects of monetary policy. It uses statistical methods that allow the analysis of larger models than appear previously in this literature. Monetary policy actions are shown to be largely systematic responses to the state of the economy. Consequently, there is more uncertainty about the effects of monetary policy than might be thought on the basis of simple graphical or narrative approaches to assessing the evidence. JEL Classifications: E3, E4, E5  1996 by THE BROOKINGS INSTITUTION. This document may be freely reproduced for educational and research purposes provided that i) this copyright notice is included with each copy, ii) no changes are made in the document, and iii) copies are not sold, but retained for individual use or distributed free. 1 Indiana University, Yale University, and Federal Reserve Bank of Atlanta, respectively. A draft of this paper is available by ftp from ftp://ftp.econ.yale.edu/pub/sims/bpea or by http from http://ezinfo.ucs.indiana.edu/~eleeper/home.htm. The authors would like to acknowledge what they have learned about the implementation of monetary policy from conversations with Lois Berthaume, Will Roberds, and Mary Rosenbaum of the Atlanta Fed, Charles Steindel of the New York Fed, Marvin Goodfriend of the Richmond Fed, and Sheila Tschinkel. David Petersen of the Atlanta Fed helped both in locating data and in discussions of the operation of the money markets.

/pdf/what-does-monetary-policy-do-5bvhfj6zbx.pdf

What Does Monetary Policy Do

We show how correctly to extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about parameter location with information about model fit, and hence can be misleading as summaries of the implications of the data for the location of parameters. Because classical confidence regions also present conceptual and computational problems in multivariate time series models, we suggest that likelihood-based bands, rather than approximate confidence bands based on asymptotic theory, be standard in reporting results for this type of model.

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Error bands for impulse responses

If dynamic multivariate models are to be used to guide decisionmaking, it is important that probability assessments of forecasts or policy projections be provided. When identified Bayesian vector autoregression (VAR) models are presented with error bands in the existing literature, both conceptual and numerical problems have not been dealt with in an internally consistent way. In this paper, the authors develop methods to introduce prior information in both reduced-form and structural VAR models without introducing substantial new computational burdens. Their approach makes it feasible to use a single, large dynamic framework (for example, twenty-variable models) for tasks of policy projections. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

/pdf/bayesian-methods-for-dynamic-multivariate-models-3701ybcf1k.pdf

Bayesian methods for dynamic multivariate models

Working Paper 2004-14 June 2004 Abstract: A multivariate model, identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances, is confronted with U.S. data since 1959. The best fit is with a model that allows time variation in structural disturbance variances only. Among models that also allow for changes in equation coefficients, the best fit is for a model that allows coefficients to change only in the monetary policy rule. That model allows switching among three main regimes and one rarely and briefly occurring regime. The three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed, and the differences in policy behavior are substantively interesting, though statistically ill determined. The estimates imply monetary targeting was central in the early '80s but was also important sporadically in the '70s. The changes in regime were essential neither to the rise in inflation in the '70s nor to its decline in the '80s. JEL classification: E52, E47, C53 Key words: counterfactuals, Lucas critique, policy rule, monetary targeting, simultaneity, volatility, model comparison I. THE DEBATE OVER MONETARY POLICY CHANGE In an influential paper, Clarida, Gali and Gertler 2000 (CGG) presented evidence that US monetary policy changed between the 1970's and the 1980's, indeed that in the 70's it was drastically worse. They found that the policy rule apparently followed in the 70's was one that, when embedded in most stochastic general equilibrium models, would imply non-uniqueness of the equilibrium and hence vulnerability of the economy to "sunspot" fluctuations of arbitrarily large size. Their estimated policy rule for the later period, on the other hand, eliminated this indeterminacy. These results are a possible explanation of the volatile and rising inflation of the 70's and of its subsequent decline. The CGG analysis has two important weaknesses. One is that it fails to account for stochastic volatility. US macroeconomic variables, and particularly the federal funds rate, have gone through periods of tranquility and of agitation, with forecast error variances varying greatly from period to period. Ignoring such variation does not lead to inconsistent estimates of model parameters when the forecasting equations themselves are constant, but it strongly biases--toward a finding of changed parameters--tests of the stability of the forecasting equations. The other weakness is that the CGG analysis rests on powerful and implausible identifying assumptions. They require that we accept that the response of the monetary authority to expected future inflation and output does not depend on the recent history of inflation, money growth, or output. It is hard to understand why this should be so, especially in the 70's, when monetarism was a prominent theme in policy debates, Congress was requiring reports from the Fed of projected time paths of monetary aggregates, and financial markets were reacting sensitively to weekly money supply numbers. The requirement for existence and uniqueness of equilibrium in dynamic models is that the monetary policy rule show a more than unit response of interest rates to the sum of the logs of all nominal variables that appear on the right-hand side of the reaction function. If we force a particular measure of expected future inflation to proxy for all the nominal variables that actually appear independently in the reaction function, we are bound to get distorted conclusions. On the one hand, because expected future inflation will be a "noisy" measure of the full set of nominal influences on policy, we might get downward bias in our estimates from the usual errorsin-variables effect. On the other hand, to the extent that expected future inflation (like most expected future values) shows less variation than current nominal variables, we could find a mistaken scaling up of coefficients. …

/pdf/were-there-regime-switches-in-u-s-monetary-policy-2nweh3djdv.pdf

Were there regime switches in U.S. monetary policy

A multivariate model, identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances, is confronted with U.S. data since 1959. The best fit is with a model that allows time variation in structural disturbance variances only. Among models that also allow for changes in equation coefficients, the best fit is for a model that allows coefficients to change only in the monetary policy rule. That model allows switching among three main regimes and one rarely and briefly occurring regime. The three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed, and the differences in policy behavior are substantively interesting, though statistically ill determined. The estimates imply monetary targeting was central in the early '80s but was also important sporadically in the '70s. The changes in regime were essential neither to the rise in inflation in the '70s nor to its decline in the '80s.

/pdf/were-there-regime-switches-in-u-s-monetary-policy-1z7orlq5wd.pdf

Tao Zha

Papers

What Does Monetary Policy Do

Error bands for impulse responses

Bayesian methods for dynamic multivariate models

Were there regime switches in U.S. monetary policy

Were there Regime Switches in U.S. Monetary Policy