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Identification And The Liquidity Effect Of A Monetary Policy Shock
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Book Synopsis Identification and the Liquidity Effect of a Monetary Policy Shock by : Lawrence J. Christiano
Download or read book Identification and the Liquidity Effect of a Monetary Policy Shock written by Lawrence J. Christiano and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional wisdom holds that unanticipated expansionary monetary policy shocks cause transient but persistent decreases in real and nominal interest rates. However a number of econometric studies argue that the evidence favors the opposite view, namely that these shocks actually raise, rather than lower, short term interest rates. We show that this conclusion is not robust to the measure of monetary aggregate used or to the assumptions made to identify monetary policy disturbances. For example, when our analysis is done using non borrowed reserves, we find strong evidence in favor of the conventional view. Existing challenges to the conventional view lack credibility not just because of their fragility. They are based upon measures of policy disturbances which generate seemingly implausible implications about things other than interest rates.
Book Synopsis Identification and the Liquidity Effect of a Monetary Shock by :
Download or read book Identification and the Liquidity Effect of a Monetary Shock written by and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identitation and the Liquidity Effect of a Monetary Policy Shock by : Lawrence J. Christiano
Download or read book Identitation and the Liquidity Effect of a Monetary Policy Shock written by Lawrence J. Christiano and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy and the Term Structure of Nominal Interest Rates by : Charles Evans
Download or read book Monetary Policy and the Term Structure of Nominal Interest Rates written by Charles Evans and published by . This book was released on 1997 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy Shocks by : Lawrence J. Christiano
Download or read book Monetary Policy Shocks written by Lawrence J. Christiano and published by . This book was released on 1998 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews recent research that grapples with the question: What happens after an exogenous shock to monetary policy? We argue that this question is interesting because it lies at the center of a particular approach to assessing the empirical plausibility of structural economic models that can be used to think about systematic changes in monetary policy institutions and rules. The literature has not yet converged on a particular set of assumptions for identifying the effects of an exogenous shock to monetary policy. Nevertheless, there is considerable agreement about the qualitative effects of a monetary policy shock in the sense that inference is robust across a large subset of the identification schemes that have been considered in the literature. We document the nature of this agreement as it pertains to key economic aggregates.
Book Synopsis The Identification of Monetary Policy Disturbances by : Steven Strongin
Download or read book The Identification of Monetary Policy Disturbances written by Steven Strongin and published by . This book was released on 1992 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Resolving the Liquidity Effect by : Adrian Rodney Pagan
Download or read book Resolving the Liquidity Effect written by Adrian Rodney Pagan and published by . This book was released on 1994 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification and the Effects of Monetary Policy Shocks by : Lawrence J. Christiano
Download or read book Identification and the Effects of Monetary Policy Shocks written by Lawrence J. Christiano and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Identification of Monetary Policy Shocks by : Annika Camehl
Download or read book Time-varying Identification of Monetary Policy Shocks written by Annika Camehl and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first regime, systematic monetary policy follows a Taylor rule extended by the term spread and is effective in curbing inflation. In the second regime, occurring after 2000 and gaining more persistence after the global financial and COVID crises, the Fed acts according to a money-augmented Taylor rule. This regime's unconventional monetary policy provides economic stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy of the second regime, inflation would be over one percentage point higher on average after 2008.
Book Synopsis What are the Effects of Monetary Policy on Output? by : Harald Uhlig
Download or read book What are the Effects of Monetary Policy on Output? written by Harald Uhlig and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Putting 'm' Back in Monetary Policy by : Eric M. Leeper
Download or read book Putting 'm' Back in Monetary Policy written by Eric M. Leeper and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Money demand and the stock of money have all but disappeared from monetary policy analyses. This paper is an empirical contribution to the debate over the role of money in monetary policy analysis. The paper models supply and demand interactions in the money market and finds evidence of an essential role for money in the transmission of policy. Across sub-samples, it finds evidence consistent with the following inferences: (1) the money stock and the interest rate jointly transmit monetary policy; (2) for a given exogenous change in the nominal interest rate, the estimated impact of policy on economic activity increases monotonically with the response of the money supply; (3) the path of the real rate is not sufficient for determining policy impacts.
Book Synopsis Monetary Policy's Role in Exchange Rate Behavior by : Jon Faust
Download or read book Monetary Policy's Role in Exchange Rate Behavior written by Jon Faust and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applies a recently developed inference procedure allowing us to relax dubious identifying assumptions. Overturns some earlier results and strengthens others.
Book Synopsis Essays on Monetary Policy by : Zhengyang Chen
Download or read book Essays on Monetary Policy written by Zhengyang Chen and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The federal funds rate became uninformative about the stance of monetary policy from December 2008 to November 2015. During the same period, unconventional monetary policy actions, like forward guidance and large-scale asset purchases, show the Federal Reserve’s intention to depress longer-term interest rates. My research question is whether, after the 2007-2009 financial crisis, monetary policy still effectively influences or adjusts the real economy. The critical challenges are to indicate the impacts of increasingly diversified monetary policy actions and empirically identify monetary policy shocks more comprehensively than exclusively focusing on variation in the policy rate. Chapter 2 considers a long-term real interest rate as an alternative monetary policy indicator in a structural VAR framework. Based on an event study of FOMC announcements, I advance a novel measure of long-term interest rate volatility with important implications for monetary policy identification. I find that monetary policy shocks identified with this volatility measure drive significant swings in credit market sentiments and real output. In contrast, monetary policy shocks identified by otherwise standard unexpected policy rate changes lead to muted responses of financial frictions and production. These finding supports the validity of the risk-taking channel and suggests an indispensable role of financial markets in monetary policy transmission. Chapter 3 documents the pass-through of the short-term interest rate onto the components of Divisia monetary aggregates. The information factors extracted from real balances of monetary assets alleviate the price puzzle, which is commonly seen in conventional monetary VAR analysis of the transmission mechanism. We also show that financial and monetary markets reacted strongly to the Federal Reserve policy after 2007. The strong monetary response varies not only quantitatively over time, but qualitatively across asset classes. Although far from a one-to-one relationship, balances of assets more closely associated with household demand, such as currency and savings, tend to move in the opposite direction of short-term rates—indicative of a liquidity effect. Whereas balances more closely associated with firms returns are mixed, where institutional money markets also show a liquidity effect, large time deposits or commercial paper exhibit a strong Fisher effect post 2007. In summary, this dissertation sets the foundation for future research in the measurement of monetary policy and the investigation of monetary policy transmission to the real economy post the financial crisis.
Book Synopsis Monetary Policy Rules by : John B. Taylor
Download or read book Monetary Policy Rules written by John B. Taylor and published by University of Chicago Press. This book was released on 2007-12-01 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Book Synopsis A Theoretical and Empirical Examination of the Liquidity Effect by :
Download or read book A Theoretical and Empirical Examination of the Liquidity Effect written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent theoretical and empirical macroeconomic studies encounter difficulties in explaining key features of the monetary transmission process. Most of the theoretical models lack mechanisms to account for the empirically observed liquidity effect and the large positive real effects following a monetary policy shock. On the other hand, empirical studies rely on identifying assumptions, as opposed to a structural model, to produce the effects of a monetary disturbance. This dissertation develops and estimates a dynamic stochastic general equilibrium (DSGE) model that captures many of the observed qualitative and quantitative properties of a monetary policy shock. Chapter 1 examines the impact of a monetary policy shock in a DSGE model with sticky prices and financial market frictions. First, we examine the shortcomings of monetary models emphasizing these frictions individually. The model then is specified to limit the response of prices and savings to a current period monetary disturbance. Our results show that this model can account for the following key responses to an expansionary monetary policy shock: a fall in the nominal interest rate; a rise in output, consumption, and investment; and a gradual increase in the price level. Finally, a detailed sensitivity analysis shows the model's results depend on the parameters assigned to critical structural features. Chapter 2 develops a DSGE model with sticky prices and financial market frictions and estimates its parameters by maximum likelihood using U.S. data on output, inflation, interest rates, real money balances, and investment. The empirical plausibility of this estimated business cycle model is evaluated by comparing its qualitative and quantitative results with those found in the data. Results show this model mimics many important features of the business cycle. In particular, our model generates reasonable impulse responses and only a modest amount of the variation in output and inflation is due to monetary policy shocks. This model also generates a key feature often missed by other models: a rise in the current nominal interest rate predicts a fall in output four to six quarters into the future.
Book Synopsis Identifying Monetary Policy with a Model of the Federal Funds Rate by : Christian Gilles
Download or read book Identifying Monetary Policy with a Model of the Federal Funds Rate written by Christian Gilles and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 1986 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
