| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7117 |
| DP7117 Financial Globalization and Economic Policies | |
| Kenneth Rogoff; Shang-Jin Wei; Eswar Prasad; M. Ayhan Kose | |
| 发表日期 | 2009 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper proposes to investigate whether US monetary policy changed over time by evaluating evidence from the entire yield curve. A regime-switching no-arbitrage term structure model relies on inflation, output and the short interest rate as factors. In a departure from the finance literature, the model is complemented with identifying assumptions that allow the private sector (inflation and output dynamics) to be separated from monetary policy (short interest rate). The model posits regime changes in the volatility of exogenous output and inflation shocks, in the monetary policy rule, and in the volatility of monetary shocks. The monetary policy regimes cannot be identified correctly if the yield curve is ignored during estimation. Counterfactual analysis uses the disentangled regimes in policy and shocks to understand their importance for the great moderation. The low-volatility regime of exogenous shocks during the last two decades plays an important role, while monetary policy contributes by trading off asymmetric responses of output and inflation under different regimes. |
| 主题 | Financial Economics |
| 关键词 | Great moderation monetary policy Regime switches Structural var Term structure model |
| URL | https://cepr.org/publications/dp7117 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535954 |
| 推荐引用方式 GB/T 7714 | Kenneth Rogoff,Shang-Jin Wei,Eswar Prasad,et al. DP7117 Financial Globalization and Economic Policies. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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