在存在时变工具相关性的情况下，识别美国货币政策冲击的汇率效应和溢出效应

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-07-09 DOI:10.1002/jae.2998

Wenting Liao, Jun Ma, Chengsi Zhang

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引用次数: 0

摘要

我们提出了一种新颖的计量经济学方法，利用美国、加拿大、德国、日本和英国的数据，在因子增强 VAR 模型中，在存在时变工具相关性的情况下，利用外部工具估计时变政策效应。我们发现，美国的货币政策冲击是汇率变动的重要驱动因素，而且没有延迟超调。我们表明，如果不考虑工具相关性的时间变化，美国货币政策冲击对通胀和实体经济活动的溢出效应的估计值将被扭曲，政策效应的时间变化主要反映冲击大小的变化，而不是其传导性。

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Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance

We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a factor-augmented VAR model with data on the United States, Canada, Germany, Japan, and the United Kingdom. We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

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.