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Measuring the Effects of Monetary Policy : A Factor-Augmented Vector Autoregressive (FAVAR) Approach

Bernanke, Ben; Boivin, Jean; Eliasz, Piotr - 2021

Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that...

Persistent link: https://www.econbiz.de/10013224845

Has Us Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data

Boivin, Jean - 2021

-sample estimation. In contrast to Orphanides (2002, 2003), I find that the Fed's response to the real-time forecast of inflation was … coefficients. The estimation is based on real-time data and accounts for the presence of heteroskedasticity in the policy shock … onward. Moreover, as in Orphanides (2003), the Fed's response to real activity fell substantially and lastingly during the …

Persistent link: https://www.econbiz.de/10013225585

Monetary Policy in a Data-Rich Environment

Bernanke, Ben; Boivin, Jean - 2021

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10013226548

Does Anticipated Monetary Policy Matter? an Econometric Investigation

Mishkin, Frederic S. - 2021

Recent theorizing with business cycle models which incorporate features of the Friedman-Phelps natural rate model along with rational expectations lead to the following policy conclusions. Anticipated changes in aggregate demand policy will have already been taken into account in economic agents...

Persistent link: https://www.econbiz.de/10013227072

Rethinking the Role of NAIRU in Monetary Policy : Implications of Model Formulation and Uncertainty

Estrella, Arturo; Mishkin, Frederic S. - 2021

In this paper we rethink the NAIRU concept and examine whether it might have a useful role in monetary policy. We argue that it can, but success depends critically on defining NAIRU as a short-run concept and distinguishing it from a long-run concept like the natural rate of unemployment. We...

Persistent link: https://www.econbiz.de/10013231562

The Sensitivity of Consumption to Transitory Income : Estimates from Panel Data on Households

Hall, Robert E.; Mishkin, Frederic S. - 2021

We investigate the stochastic relation between income and consumption (specifically, consumption of food) within a panel of about 2,000 households. Our major findings are: 1. Consumption responds much more strongly to permanent than to transitory movements of income. 2. The response to...

Persistent link: https://www.econbiz.de/10013313805

Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?

Estrella, Arturo - 2006

We examine the potential policy role of monetary aggregates by attempting to use them as effectively as possible in the analysis of empirical relationships. We consider three possible roles: as information variables, as indicators of policy actions and as instruments in a policy rule. These...

Persistent link: https://www.econbiz.de/10012783973