美国货币政策与不确定性

IF 2.3 3区 经济学 Q2 ECONOMICS
Giovanni Nicolò
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引用次数: 0

摘要

本文考察了战后美国货币政策的立场。为此,我展示了两个特征是关键:丰富的结构模型和不确定解的参数化,以确保在估计过程中对不确定区域进行充分的探索。因此,我使用一种新颖的解决方法来估计美国宏观经济数据的中等规模模型,以考虑不确定性。在使用替代模型规格和数据的情况下,1979年以前被动货币政策的证据是普遍和有力的。相比之下,如果排除沃尔克反通胀时期,或者如果模型包括时变通胀目标和通胀预期数据进行估计,那么1979年之后积极立场的证据就会被推翻。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
US Monetary Policy and Indeterminacy

In this paper, I investigate the stance of the US monetary policy in the postwar period. To this end, I show that two features are key: a rich structural model and a parameterization of the indeterminate solution that ensures a sufficient exploration of the indeterminacy region during the estimation procedure. Therefore, I estimate a medium-scale model on the US macroeconomic data using a novel solution method to allow for indeterminacy. The evidence of a passive monetary policy in the pre-1979 period is pervasive and robust to the use of alternative model specifications and data. By contrast, the evidence of an active stance after 1979 is overturned if the period of the Volcker disinflation is excluded or if the model is estimated including a time-varying inflation target and data on inflation expectations.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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