Understanding the Effects of Unanticipated Future Monetary Policy Shocks
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
This paper studies the effects of future monetary policy shocks unanticipated by private agents using an estimated new Keynesian dynamic stochastic general equilibrium model framework. Analysis of U.S. data from 1967 Q1 to 2008 Q1 shows that the information structure on monetary policy substantially improves the model's fit to data compared to the conventional contemporaneous-shocks-only counterpart. To examine the role of agents' foresight about future monetary policy shocks, a counterfactual analysis on agents' information flows is conducted. If, throughout the sample period, agents had possessed perfect foresight about future monetary policy shocks, the business cycle fluctuations would have been milder as the volatility of key macroeconomic variables drops markedly. In addition, we find that the model-implied uncertainty about future monetary policy contains significant explanatory power for disagreement—cross-sectional dispersion of forecasts—in the Survey of Professional Forecasters.
Abstract
This paper studies the effects of future monetary policy shocks unanticipated by private agents using an estimated new Keynesian dynamic stochastic general equilibrium model framework. Analysis of U.S. data from 1967 Q1 to 2008 Q1 shows that the information structure on monetary policy substantially improves the model's fit to data compared to the conventional contemporaneous-shocks-only counterpart. To examine the role of agents' foresight about future monetary policy shocks, a counterfactual analysis on agents' information flows is conducted. If, throughout the sample period, agents had possessed perfect foresight about future monetary policy shocks, the business cycle fluctuations would have been milder as the volatility of key macroeconomic variables drops markedly. In addition, we find that the model-implied uncertainty about future monetary policy contains significant explanatory power for disagreement—cross-sectional dispersion of forecasts—in the Survey of Professional Forecasters.
참고문헌 (35)
- An, S., "Bayesian Analysis of DSGE Models", Econometric Reviews, 26, pp.113~172 (2007)
- Ando, T., "Bayesian Predictive Information Criterion for the Evaluation of Hierarchical Bayesian and Empirical Bayes Models", Biometrika, 94, pp.443~458 (2007)
- Blanchard, O., "News, Noise, and Fluctuations: An Empirical Exploration", American Economic Review (2012)
- Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence, "Blinder, A.", NBER, ~, pp.Working Paper, No. 13932 (2008)
- How Do Central Banks Talk?, "Blinder, A.", International Center for Monetary and Banking Studies, ~, pp.Geneva Report on the World Economy, No. 3 (2001)
- Boz, E., "Emerging Market Business Cycles: Learning about the Trend", Journal of Monetary Economics, 58, pp.616~631 (2008)
- Calvo, G., "Staggered Prices in a Utility-Maximizing Framework", Journal of Monetary Economics, 12, pp.383~398 (1983)
- Christiano, L., "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy", Journal of Political Economy, 113, pp.1~45 (2005)
- Clarida, R., "Monetary Policy Rules and Macroeconomic Stability : Evidence and Some Theory", Quarterly Journal of Economics, 115, pp.147~180 (2000)
- Cogley, T., "Drifts and Volatilities : Monetary Policies and Outcomes in the Post WWII US", Review of Economic Dynamics, 8, pp.262~302 (2005)
- Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts, "Coibion, O,Y.", NBER, ~, pp.Working Paper, No. 16537 (2010)
- Collard, F., "Imperfect Information and the Business Cycle", Journal of Monetary Economics, 56, pp.38~56 (2009)
- Del Negro, M., "On the Fit of New Keynesian Models", Journal of Business and Economic Statistics, 25, pp.123~143 (2007)
- Dixit, A., "Monopolistic Competition and Optimum Product Diversity", American Economic Review, 67, pp.297~308 (1977)
- Dovern, J., "Disagreement among Forecasters in G7 Countries", Review of Economics and Statistics, 94, pp.1081~1096 (2012)
- Fujiwara, I., "Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach", Journal of Money, Credit and Banking, 43, pp.1~29 (2011)
- Geweke, J., "Using Simulation Methods for Bayesian Econometric Models : Inference, Development, and Communication", Econometric Reviews, 18, pp.1~73 (1999)
- Goodfriend, M, "A Return to Jekyll Island: The Origins, History, and Future of the Federal Reserve System" (2010)
- Granger, C., "The Typical Spectral Shape of an Economic Variable", Econometrica, 34, pp.50~161 (1966)
- Leeper, E., "Fiscal Foresight and Information Flows", Econometrica, 81, pp.1115~1145 (2013)
- Levin, A., "NBER Macroeconomics Annual 2005" (2006), MIT Press
- Levine, P., "Endogenous Persistence in an Estimated DSGE Model Under Imperfect Information", The Economic Journal, 122, pp.1287~1312 (2012)
- Mertens, K., "Measuring the Impact of Fiscal Policy in the Face of Anticipation : A Structural VAR Approach", Economic Journal, 120, pp.393~413 (2010)
- Milani, F., "The Effects of Monetary Policy ‘News’and ‘Surprises’", Journal of Money, Credit and Banking, 44, pp.1667~1692 (2012)
- Poterba, J., "Are Consumer Forward Looking? Evidence from Fiscal Experiments", American Economic Review Papers and Proceedings, 78, pp.413~418 (1988)
- Ramey, V., "Identifying Government Spending Shocks : It’s All in the Timing", Quarterly Journal of Economics, 126, pp.1~50 (2011)
- Ramey, V., "Costly Capital Reallocation and the Effects of Government Spending", Carneige-Rochester Conference Series on Public Policy, 48, pp.145~194 (1998), North-Holland
- Schmitt-Grohe, S., "What’s ‘News’ in Business Cycles?", Econometrica, 80, pp.2733~2764 (2012)
- Sims, C., "Solving Linear Rational Expectations Models", Journal of Computational Economics, 20(1-2), pp.1~20 (2002)
- Smets, F., "Shocks and Frictions in U.S. Business Cycles: A Bayesian DSGE Approach", American Economic Review, 97(3), pp.586~606 (2007)
- Spiegelhalter, D., "Bayesian Measures of Model Complexity and Fit", Journal of the Royal Statistical Society, 64, pp.583~639 (2002)
- Walker, T., "Information Flows and News Driven Business Cycles", Review of Economic Dynamics, 14, pp.55~71 (2011)
- Central Bank Communication and Policy Effectiveness, "Woodford, M.", NBER, ~, pp.Working Paper, No. 11898 (2005)
- Yang, S. -C., "Quantifying Tax Effects Under Policy Foresight", Journal of Monetary Economics, 52, pp.1557~1568 (2005)
- Yun, T., "Nominal Price Rigidity, Money Supply Endogeneity, and Business Cycles", Journal of Monetary Economics, 37, pp.345~370 (1996)