Estimating the Market-Perceived Monetary Policy Rule

被引：24

作者：

Hamilton, James D. ^{[1
]}

Pruitt, Seth ^{[2
]}

Borger, Scott ^{[3
]}

机构：

[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

[2] Fed Reserve Board, Washington, DC 20551 USA

[3] Off Immigrat Stat, Washington, DC 20001 USA

来源：

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS | 2011年 / 3卷 / 03期

关键词：

INTEREST-RATES; TERM STRUCTURE; ANNOUNCEMENTS; INFLATION; FREQUENCY; FORECASTS; SHOCKS;

D O I：

10.1257/mac.3.3.1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target. (JEL C51, E31, E43, E52, E58)

引用

页码：1 / 28

页数：28

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