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摘要
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We develop a model-based, VAR methodology for measuring innovations in monetary policy and their macroeconomic effects. Using this framework, we are able to compare existing approaches to measuring monetary policy shocks and derive a new measure of policy innovations based directly on (possibly time-varying) estimates of the central bank's operating procedures. We also propose a new measure of the overall stance of policy (including the endogenous or systematic component) that is consistent with our approach.
Keyword:
RESERVE OPERATING PROCEDURE
TIME-SERIES FACTS
IDENTIFICATION
RATES
期刊
IF:
12.7
论文数:
1.2K
被引数:
4.1W
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A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE一种非平稳时间序列和商业周期经济分析的新方法.png)
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