Эксоцман
на главную поиск contacts

Measuring Monetary Policy

Опубликовано на портале: 17-07-2007
The Quarterly Journal of Economics. 1998. 
Extending the approach of Bernanke and Blinder (1992), Strongin (1992), and Christiano, Eichenbaum, and Evans (1994a, 1994b), we develop and apply a VAR-based methodology for measuring the stance of monetary policy. More specifically, we develop a 'semi-structural' VAR approach, which extracts information about monetary policy from data on bank reserves and the federal funds rate but leaves the relationships among the macroeconomic variables in the system unrestricted. The methodology nests earlier VAR-based measures and can be used to compare and evaluate these indicators. It can also be used to construct measures of the stance of policy that optimally incorporate estimates of the Fed's operating procedure for any given period. Among existing approaches, we find that innovations to the federal funds rate (Bernanke-Blinder) are a good measure of policy innovations during the periods 1965-79 and 1988-94; for the period 1979-94 as a whole, innovations to the component of nonborrowed reserves that is orthogonal to total reserves (Strongin) seems to be the best choice. We develop a new measure of policy stance that conforms well to qualitative indicators of policy such as the Boschen- Mills (1991) index. Innovations to our measure lead to reasonable and precisely estimated dynamic responses by variables such as real GDP and the GDP deflator.

Данная статья уже стала классической работой по измерению степени мягкости/жесткости монетарной политики. Она базируется на методологии структурных векторых авторегрессий (SVAR), позволяющих выделить дискреционную компоненту монетарной политики из данных о ставках процента и статьях баланса ЦБ.
На основе разработанной авторами методологии было проведено множество исследований, в том числе и принципов монетарной стабилизации ЦБ РФ: смотри работу Шульгин А.Г., Нагорнов А.В., Стабилизация валютного курса и ставки процента в России. SVAR анализ

Ссылки
http://web.econ.unito.it/bagliano/appmacro/bm_qje98.pdf
BiBTeX
RIS
Ключевые слова

См. также:
Gianni Amisano, Carlo Giannini
[Книга]
Julio Carrillo, Patrick Feve, Julien Matheron
International Journal of Central Banking. 2007.  Vol. 3. No. 2. P. 1-38. 
[Статья]
[Компьютерная программа]
Jennifer E. Roush
Journal of Monetary Economics. 2007.  Vol. 54. No. 6. P. 1631-1643. 
[Статья]
Bartosz Maćkowiak
Journal of Monetary Economics. 2007.  Vol. 54. No. 8. P. 2512-2520. 
[Статья]