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Author: James D. Hamilton Publisher: ISBN: Category : Economics Languages : en Pages : 35
Book Description
We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target -- National Bureau of Economic Research web site.
Author: James D. Hamilton Publisher: ISBN: Category : Economics Languages : en Pages : 35
Book Description
We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target -- National Bureau of Economic Research web site.
Author: James D. Hamilton Publisher: ISBN: Category : Economics Languages : en Pages : 35
Book Description
We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
Author: James D. Hamilton Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We introduce a novel method for estimating a monetary policy rule using macroeconomic news. Market forecasts of both economic conditions and monetary policy are affected by news, and our estimation links the two effects. This enables us to estimate directly the policy rule agents use to form their expectations, and in so doing flexibly capture the particular dynamics of policy response. We find evidence that between 1994 and 2007 the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. In a standard model we show that output smoothing caused by a larger inflation response magnitude is offset by the more measured pace of response. Our response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
Author: John B. Taylor Publisher: University of Chicago Press ISBN: 0226791262 Category : Business & Economics Languages : en Pages : 460
Book Description
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.
Author: Peter J. N. Sinclair Publisher: Routledge ISBN: 1135179778 Category : Business & Economics Languages : en Pages : 402
Book Description
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author: Sora Chon Publisher: ISBN: Category : Macroeconomics Languages : en Pages : 69
Book Description
The dissertation explores the links between macroeconomic phenomena and monetary policy and to develop new econometric methods. In the first chapter, "Monetary Policy Rules and Macroeconomic Stability Revisited: Limited Information Approach under Identifying Restrictions, provides a new approach to limited information estimation consistent with the forward-looking monetary policy rule. Recently, the weak identification in the conventional estimation method has drawn attention to the estimation of a forward-looking monetary policy rule. This paper identified a particular range for the value of the concentration parameter, for which the generalized method of moments (GMM) suffers from the weak identification problem, while the proposed method does not. This implies that GMM estimation generates spurious weak identification in the estimation of a forward-looking monetary policy rule. The proposed approach allows us to provide stronger messages to the estimation of a forward-looking monetary policy rule. The estimation results confirm a change of monetary policy in the U.S. In the 1960-1979 sample, the policy was inactive and it did not react sufficiently to the expected deviation of inflation from its target. In contrast, under the 1979-1997 sample monetary policy actively responses to the inflation with a high degree of interest smoothing. The second chapter of the dissertation is the extension of the first chapter, "Estimation of a Time-varying Forward-looking Monetary Policy Rule: Limited Information Approach. In this chapter, I estimate a time-varying forward-looking monetary policy rule by considering a time-varying structural vector auto-regression (VAR) model for the monetary transition mechanism. Assuming that the time variation comes from the coefficients and the variance covariance matrix, I illustrate this via modeling multivariate stochastic volatility. In a foundational paper, Primiceri (2005) estimated a time-varying structural VAR with stochastic volatility after assuming monetary policy shocks to be independent of any other innovations without forward-looking variables. Because agents are assumed to be rational, monetary policy changes can be incorporated into future forecasts. Kim and Nelson (2006) used a single equation to investigate the estimation of a forward-looking monetary policy rule in relation to the forward-looking behavior of agents. To account for the endogeneity, they suggested a two-step estimation technique based on the control function approach. However, as Chon and Kim (2014) argued, the error term in instrumenting equations for forward-looking variables follows moving-average (MA) dynamics, resulting in additional information loss. Consequently, this paper illustrates that one can recover this MA structure after considering the reduced-form of the time-varying VAR; the procedure suggested in this paper resolves the possible weak identification issues. The third chapter of the dissertation is "Stock Market Reaction to Monetary Policy Changes: Identification through Heteroskedasticity with Markov-switching." This paper investigates the estimation issues surrounding the response of asset prices to monetary policy changes. Because of the simultaneous relationship between stock prices and policy decisions, and because both react to numerous other variables, estimation of the impact of stock price to monetary policy action is difficult. In this paper, I use the heteroskedastic structure of monetary policy shocks to identify stock market reactions to monetary policy changes following Rigobon and Sack (2004). Especially, in order to consider all possible sources which affect shifts in monetary policy shocks, such as the alteration of expectations about the future path of the monetary policy and a change in the timing of policy moves, I incorporate the Markov-switching framework to detect different state endogenously. The procedure proposed in this paper can reduce the potential bias caused by mis-specified timings in the shifts of monetary policy shocks and produce more precise estimate of the monetary policy actions on the stock market. Since the stock market is forward-looking, I focus on the surprised part of the policy actions within the conventional event-study framework. The empirical finding tells us that the heteroskedasticity on event day may well be a consequence of the asymmetric effects on the different types of policy actions: expansionary policy vs. contractionary policy. Also, we found that the unanticipated 25-basis point increase would decrease 1.91 percent in the S & P 500 returns.
Author: Stephen Morris Publisher: ISBN: Category : Languages : en Pages : 30
Book Description
Has the Federal Open Market Committee's policy rule changed in recent years? This is difficult to answer given the zero lower bound environment for the federal funds rate throughout late 2008 to 2015. This paper addresses the problem using policymakers' projections for the near horizon from 2012 to 2016, which were often greater than the bound. Projections indicate inconsistent but overall diminishing responsiveness to inflation, a relatively stable and strong response to economic activity, and increasing short-run responsiveness to financial risk. Professional forecasters perceived the size of the response to economic activity, but not inflation, perhaps due to its relative volatility.
Author: Mr.Luis Brandao-Marques Publisher: International Monetary Fund ISBN: 1513529730 Category : Business & Economics Languages : en Pages : 54
Book Description
Central banks in emerging and developing economies (EMDEs) have been modernizing their monetary policy frameworks, often moving toward inflation targeting (IT). However, questions regarding the strength of monetary policy transmission from interest rates to inflation and output have often stalled progress. We conduct a novel empirical analysis using Jordà’s (2005) approach for 40 EMDEs to shed a light on monetary transmission in these countries. We find that interest rate hikes reduce output growth and inflation, once we explicitly account for the behavior of the exchange rate. Having a modern monetary policy framework—adopting IT and independent and transparent central banks—matters more for monetary transmission than financial development.
Author: Andrew L. Yarrow Publisher: Brookings Institution Press ISBN: 0815732759 Category : Political Science Languages : en Pages : 340
Book Description
The story of men who are hurting—and hurting America by their absence Man Out describes the millions of men on the sidelines of life in the United States. Many of them have been pushed out of the mainstream because of an economy and society where the odds are stacked against them; others have chosen to be on the outskirts of twenty-first-century America. These men are disconnected from work, personal relationships, family and children, and civic and community life. They may be angry at government, employers, women, and "the system" in general—and millions of them have done time in prison and have cast aside many social norms. Sadly, too many of these men are unsure what it means to be a man in contemporary society. Wives or partners reject them; children are estranged from them; and family, friends, and neighbors are embarrassed by them. Many have disappeared into a netherworld of drugs, alcohol, poor health, loneliness, misogyny, economic insecurity, online gaming, pornography, other off-the-grid corners of the internet, and a fantasy world of starting their own business or even writing the Great American novel. Most of the men described in this book are poorly educated, with low incomes and often with very few prospects for rewarding employment. They are also disproportionately found among millennials, those over 50, and African American men. Increasingly, however, these lost men are discovered even in tony suburbs and throughout the nation. It is a myth that men on the outer corners of society are only lower-middle-class white men dislocated by technology and globalization. Unlike those who primarily blame an unjust economy, government policies, or a culture sanctioning "laziness," Man Out explores the complex interplay between economics and culture. It rejects the politically charged dichotomy of seeing such men as either victims or culprits. These men are hurting, and in turn they are hurting families and hurting America. It is essential to address their problems. Man Out draws on a wide range of data and existing research as well as interviews with several hundred men, women, and a wide variety of economists and other social scientists, social service providers and physicians, and with employers, through a national online survey and in-depth fieldwork in several communities.
Author: James D. Hamilton
Author: James D. Hamilton
Author: James D. Hamilton
Author: James D. Hamilton
Author: John B. Taylor
Author: Peter J. N. Sinclair
Author: Sora Chon
Author: Stephen Morris
Author: Mr.Luis Brandao-Marques
Author: Jean-Sébastien Fontaine
Author: Andrew L. Yarrow