全球智库信息集成服务系统(G2TT): DP7812 Reading the Recent Monetary History of the U.S., 1959-2007

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7812
	DP7812 Reading the Recent Monetary History of the U.S., 1959-2007
	Juan Francisco Rubio-Ramírez; Jesus Fernandez-Villaverde; Pablo A. Guerron-Quintana
发表日期	2010-05-23
出版年	2010
语种	英语
摘要	In this paper we report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this estimation to examine the recent monetary history of the U.S. and to interpret, through this lens, the sources of the rise and fall of the great American inflation from the late 1960s to the early 1980s and of the great moderation of business cycle fluctuations between 1984 and 2007. Our main findings are that while there is strong evidence of changes in monetary policy during Volcker's tenure at the Fed, those changes contributed little to the great moderation. Instead, changes in the volatility of structural shocks account for most of it. Also, while we find that monetary policy was different under Volcker, we do not find much evidence of a big difference in monetary policy among Burns, Miller, and Greenspan. The difference in aggregate outcomes across these periods is attributed to the time-varying volatility of shocks. The history for inflation is more nuanced, as a more vigorous stand against it would have reduced inflation in the 1970s, but not completely eliminated it. In addition, we find that volatile shocks (especially those related to aggregate demand) were important contributors to the great American inflation.
主题	International Macroeconomics
关键词	Bayesian methods Dsge models Parameter drifting stochastic volatility
URL	https://cepr.org/publications/dp7812
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/536649
推荐引用方式 GB/T 7714	Juan Francisco Rubio-Ramírez,Jesus Fernandez-Villaverde,Pablo A. Guerron-Quintana. DP7812 Reading the Recent Monetary History of the U.S., 1959-2007. 2010.