| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w13736
|
| 来源ID | Working Paper 13736
|
| Global Forces and Monetary Policy Effectiveness |
| Jean Boivin; Marc Giannoni
|
| 发表日期 | 2008-01-22
|
| 出版年 | 2008
|
| 语种 | 英语
|
| 摘要 | In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the 1984-2005 period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and international data series. We find that the role of international factors in explaining US variables has been changing over the 1984-2005 period. However, while some US series have become more correlated with global factors, there is little evidence suggesting that these factors have become systematically more important. We don't find strong evidence of a change in the transmission mechanism of monetary policy due to global forces. Taking our point estimates literally, global forces do not seem to have played an important role in the US monetary transmission mechanism between 1984 and 1999. In addition, since the year 2000, the initial response of the US economy following a monetary policy shock --- the first 6 to 8 quarters --- is essentially the same as the one that has been observed in the 1984-1999 period. However, point estimates suggest that the growing importance of global forces might have contributed to reducing some of the persistence in the responses, two or more years after the shocks. Overall, we conclude that if global forces have had an effect on the monetary transmission mechanism, this is a recent phenomenon. |
| 主题 | Econometrics
; Estimation Methods
; Macroeconomics
; Business Cycles
; Money and Interest Rates
; International Economics
; International Macroeconomics
|
| URL | https://www.nber.org/papers/w13736
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571411
|
推荐引用方式
GB/T 7714 |
Jean Boivin,Marc Giannoni. Global Forces and Monetary Policy Effectiveness. 2008.
|
|
文件名：
|
w13736.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
