G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8101
DP8101 US Post-war Monetary Policy: What Caused the Great Moderation?
Patrick Minford; Zhirong Ou
发表日期2010-11-08
出版年2010
语种英语
摘要Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in which an optimal timeless policy is substituted for a Taylor rule. We find the model explains the data both for the Great Acceleration and the Great Moderation. The implication is that changing variances of shocks caused the reduction of volatility. Smaller Fed policy errors accounted for the fall in inflation volatility. Smaller supply shocks accounted for the fall in output volatility and smaller demand shocks for lower interest rate volatility. The same model with differing Taylor rules of the standard sorts cannot explain the data of either episode. But the model with timeless optimal policy could have generated data in which Taylor rule regressions could have been found, creating an illusion that monetary policy was following such rules.
主题International Macroeconomics
关键词Bootstrap Great moderation indirect inference monetary policy New keynesian model Shocks Var Wald statistic
URLhttps://cepr.org/publications/dp8101
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/536961
推荐引用方式
GB/T 7714
Patrick Minford,Zhirong Ou. DP8101 US Post-war Monetary Policy: What Caused the Great Moderation?. 2010.
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