LECTURE 3 The Effects of Monetary Changes: Vector Autoregressions. September 7, 2016
|
|
- Hugo Cross
- 6 years ago
- Views:
Transcription
1 Economics 210c/236a Fall 2016 Christina Romer David Romer LECTURE 3 The Effects of Monetary Changes: Vector Autoregressions September 7, 2016
2 I. SOME BACKGROUND ON VARS
3 A Two-Variable VAR Suppose the true model is: where ε 1t and ε 2t are uncorrelated with one another, with the contemporaneous and lagged values of the right-hand side variables, and over time.
4 Rewrite this as: or where
5 This implies where
6 Extending to K Variables and N Lags The true model takes the form: where C is K x K, X is K x 1, B is K x K, and E is K x 1. This leads to: where
7 An Obvious (at Least in Retrospect) Insight Consider where The elements of B and C are not identified.
8 II. CHRISTIANO, EICHENBAUM, AND EVANS, THE EFFECTS OF MONETARY POLICY SHOCKS: EVIDENCE FROM THE FLOW OF FUNDS
9 Simplified Version of Christiano, Eichenbaum, and Evans Two variables, one lag: The reduced form is:
10 From: Christiano, Eichenbaum, and Evans
11 From: Christiano, Eichenbaum, and Evans
12 From: Christiano, Eichenbaum, and Evans
13 From: Christiano, Eichenbaum, and Evans
14 Two Other Ways of Estimating the Effects of Monetary Policy Shocks under CEE s Assumptions
15 The Jordà Local Projections Approach Suppose that (as in CEE) our assumption is that monetary policy can respond to output within the period and output does not respond to monetary policy within the period. To see how monetary policy affects output at different horizons, we can estimate a series of regressions for h = 1, 2, 3, : The estimated impulse response function is just the sequence of b h s. Note: As always, this presumes that the identifying assumptions are correct!
16 Other Types of Restrictions to Make VARs Identified Zero restrictions other than ordering assumptions. Long-run restrictions. Imposing coefficient restrictions motivated by theory.
17 III. RUDEBUSCH, DO MEASURES OF MONETARY POLICY IN A VAR MAKE SENSE?
18 Key Points The funds rate equation in many VARs is the Fed s reaction function, and so can be evaluated using other evidence about Fed behavior. The residuals from the equation are monetary policy shocks, and so can be evaluated using other evidence about monetary policy shocks.
19 Rudebusch s Criticisms of the Funds Rate Equation of VARs as a Fed Reaction Function Assumed to be stable over time. The scope of the information set. Use of revised data. Inclusion of many lags.
20 From: Rudebusch, Do Measures of Monetary Policy?
21 From: Rudebusch, Do Measures of Monetary Policy?
22 Concerns about Rudebusch s Critique of the Funds Rate Equation of VARs as a Fed Reaction Function?
23 Rudebusch s Concerns about the Monetary Policy Shocks from VARs Comparison with surprises relative to expectations based on financial markets. Comparisons across VARs.
24 From: Rudebusch, Do Measures of Monetary Policy?
25 From: Rudebusch, Do Measures of Monetary Policy?
26 Concerns about Rudebusch s Critique of the Monetary Policy Shocks from VARs?
27 IV. ROMER AND ROMER: A NEW MEASURE OF MONETARY SHOCKS: DERIVATION AND IMPLICATIONS
28 Deriving Our New Measure Derive the change in the intended funds rate around FOMC meetings using narrative and other sources. Regress on Federal Reserve forecasts of inflation and output growth. Take residuals as new measure of monetary policy shocks.
29 Regression Summarizing Usual Fed Behavior ff is the federal funds rate y is output; π is inflation; u is the unemployment rate ~ over a variable indicates a Greenbook forecast From: Romer and Romer, A New Measure of Monetary Shocks
30 What kinds of thing are in the new shock series? Unusual movements in funds rate because the Fed was also targeting other measures. Mistakes based on a bad model of economy. Change in tastes. Political factors. Pursuit of other objectives.
31 From: Romer and Romer, A New Measure of Monetary Shocks
32 Evaluation of the New Measure Key issue is there useful information used in setting policy not contained in the Greenbook forecasts?
33 Digression: Kuttner s Alternative Measure of Monetary Shocks Get a measure of unexpected changes in the federal funds rate by (roughly) comparing the implied change indicated by fed funds futures and the actual change.
34 From: Kenneth Kuttner, Monetary Policy Surprises.
35 Single-Equation Regression for Output y is the log of industrial production S is the new measure of monetary policy shocks D s are monthly dummies From: Romer and Romer, A New Measure of Monetary Shocks
36 Fitting this Specification into the Earlier Framework Suppose the true model is: y t = a 1 y t 1 + b 1 i t 1 + ε yy, (1) i t = a 2 y t + b 2 π t + ε it, (2) where y and π are the forecasts as of period t, and ε it is uncorrelated with all the other things on the right-hand side of (1) and (2) (y t 1, i t 1, y t, π t, and ε yy ). (2) implies: i t 1 = a 2 y t 1 + b 2 π t 1 + ε i,t 1. Substituting this in to (1) gives us: y t = b 1 ε i,t 1 + δ t, where δ t = a 1 y t 1 + b 1 a 2 y t 1 + b 2 π t 1 + ε yy. Under the assumptions of the model, δ t is uncorrelated with ε i,t-1, and so we can estimate this equation by OLS and recover the effect of i on y (b 1 ).
37 Single-Equation Regression for Output Using the New Measure of Monetary Shocks Using the Change in the Actual Funds Rate From: Romer and Romer, A New Measure of Monetary Shocks
38 Single-Equation Regression for Prices Using the New Measure of Monetary Shocks Using the Change in the Actual Funds Rate From: Romer and Romer, A New Measure of Monetary Shocks
39 Single-Equation Regression for Prices Controlling for Commodity Prices From: Romer and Romer, A New Measure of Monetary Shocks
40 VAR Specification Three variables: log of IP, log of PPI for finished goods, measure of monetary policy (also include commodity prices in one variant). Monetary policy is assumed to respond to, but not to affect other variables contemporaneously. We include 3 years of lags, rather than 1 as Christiano, Eichenbaum, and Evans do. Cumulate shock to be like the level of the funds rate.
41 VAR Results
42 Comparison of VAR Results: Impulse Response Function for Output Percent Funds Rate Romer and Romer Shock Months after the Shock
43 Comparison of VAR Results: Impulse Response Function for Prices 1 0 Funds Rate -1 Percent Romer and Romer Shock Months after the Shock
44 Impulse Response Function of DFF to Shock Percentage Points Months after the Shock
45 Solid black line includes the early Volcker period, dashed blue line excludes it. From: Coibion, Are the Effects of Monetary Policy Shocks Big or Small?
LECTURE 5 The Effects of Fiscal Changes: Aggregate Evidence. September 19, 2018
Economics 210c/236a Fall 2018 Christina Romer David Romer LECTURE 5 The Effects of Fiscal Changes: Aggregate Evidence September 19, 2018 I. INTRODUCTION Theoretical Considerations (I) A traditional Keynesian
More informationA NEW MEASURE OF MONETARY SHOCKS: DERIVATION AND IMPLICATIONS. Christina D. Romer David H. Romer. Working Paper 9866
A NEW MEASURE OF MONETARY SHOCKS: DERIVATION AND IMPLICATIONS Christina D. Romer David H. Romer Working Paper 9866 NBER WORKING PAPER SERIES A NEW MEASURE OF MONETARY SHOCKS: DERIVATION AND IMPLICATIONS
More informationEmpirical Effects of Monetary Policy and Shocks. Valerie A. Ramey
Empirical Effects of Monetary Policy and Shocks Valerie A. Ramey 1 Monetary Policy Shocks: Let s first think about what we are doing Why do we want to identify shocks to monetary policy? - Necessary to
More informationUNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 9
UNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 9 THE CONDUCT OF POSTWAR MONETARY POLICY FEBRUARY 14, 2018 I. OVERVIEW A. Where we have been B.
More informationMA Advanced Macroeconomics 3. Examples of VAR Studies
MA Advanced Macroeconomics 3. Examples of VAR Studies Karl Whelan School of Economics, UCD Spring 2016 Karl Whelan (UCD) VAR Studies Spring 2016 1 / 23 Examples of VAR Studies We will look at four different
More informationMonetary Policy Surprises, Credit Costs and Economic Activity
Monetary Policy Surprises, Credit Costs and Economic Activity By Mark Gertler and Peter Karadi We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial
More informationMonetary Policy Matters: New Evidence Based on a New Shock Measure
WP/10/230 Monetary Policy Matters: New Evidence Based on a New Shock Measure S. Mahdi Barakchian and Christopher Crowe 2010 International Monetary Fund WP/10/230 Research Department Monetary Policy Matters:
More informationTaxes and the Fed: Theory and Evidence from Equities
Taxes and the Fed: Theory and Evidence from Equities November 5, 217 The analysis and conclusions set forth are those of the author and do not indicate concurrence by other members of the research staff
More informationWeb Appendix. Are the effects of monetary policy shocks big or small? Olivier Coibion
Web Appendix Are the effects of monetary policy shocks big or small? Olivier Coibion Appendix 1: Description of the Model-Averaging Procedure This section describes the model-averaging procedure used in
More informationProfessor Christina Romer. LECTURE 24 INFLATION AND THE RETURN OF OUTPUT TO POTENTIAL April 21, 2016
Economics 2 Spring 2016 Professor Christina Romer Professor David Romer LECTURE 24 INFLATION AND THE RETURN OF OUTPUT TO POTENTIAL April 21, 2016 I. KEY IDEAS II. THE BEHAVIOR OF INFLATION A. Nominal rigidities
More informationRisk, Uncertainty and Monetary Policy
Risk, Uncertainty and Monetary Policy Geert Bekaert Marie Hoerova Marco Lo Duca Columbia GSB ECB ECB The views expressed are solely those of the authors. The fear index and MP 2 Research questions / Related
More informationThe Stategic Petroleum Reserve and Oil Prices
The Stategic Petroleum Reserve and Reid Stevens UC Berkeley October 8, 2014 1 / 52 Question: Does the SPR affect crude oil prices? Answer: Yes, but not as intended. Assumption Data Crude Oil Release Oil
More informationAsymmetric Information and the Impact on Interest Rates. Evidence from Forecast Data
Asymmetric Information and the Impact on Interest Rates Evidence from Forecast Data Asymmetric Information Hypothesis (AIH) Asserts that the federal reserve possesses private information about the current
More informationLECTURE 8 Monetary Policy at the Zero Lower Bound. October 19, 2011
Economics 210c/236a Fall 2011 Christina Romer David Romer LECTURE 8 Monetary Policy at the Zero Lower Bound October 19, 2011 I. PAUL KRUGMAN, IT S BAAACK: JAPAN S SLUMP AND THE RETURN OF THE LIQUIDITY
More information5. STRUCTURAL VAR: APPLICATIONS
5. STRUCTURAL VAR: APPLICATIONS 1 1 Monetary Policy Shocks (Christiano Eichenbaum and Evans, 1998) Monetary policy shocks is the unexpected part of the equation for the monetary policy instrument (S t
More informationUNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor Christina Romer LECTURE 24
UNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor Christina Romer LECTURE 24 I. OVERVIEW A. Framework B. Topics POLICY RESPONSES TO FINANCIAL CRISES APRIL 23, 2018 II.
More informationData revisions and the identification. of monetary policy shocks
Data revisions and the identification of monetary policy shocks Dean Croushore Charles L. Evans December 2002 Abstract Monetary policy research using time series methods has been criticized for using more
More informationDecomposing the Effects of Monetary Policy Using an External Instruments SVAR
MPRA Munich Personal RePEc Archive Decomposing the Effects of Monetary Policy Using an External Instruments SVAR Aeimit Lakdawala Michigan State University November 6 Online at https://mpra.ub.uni-muenchen.de/836/
More informationLECTURE 8 Monetary Policy at the Zero Lower Bound: Quantitative Easing. October 10, 2018
Economics 210c/236a Fall 2018 Christina Romer David Romer LECTURE 8 Monetary Policy at the Zero Lower Bound: Quantitative Easing October 10, 2018 Announcements Paper proposals due on Friday (October 12).
More informationFor Online Publication. The macroeconomic effects of monetary policy: A new measure for the United Kingdom: Online Appendix
VOL. VOL NO. ISSUE THE MACROECONOMIC EFFECTS OF MONETARY POLICY For Online Publication The macroeconomic effects of monetary policy: A new measure for the United Kingdom: Online Appendix James Cloyne and
More informationInflation Regimes and Monetary Policy Surprises in the EU
Inflation Regimes and Monetary Policy Surprises in the EU Tatjana Dahlhaus Danilo Leiva-Leon November 7, VERY PRELIMINARY AND INCOMPLETE Abstract This paper assesses the effect of monetary policy during
More informationMONETARY POLICY AND THE INVESTMENT COMPANIES
MONETARY POLICY AND THE INVESTMENT COMPANIES Syed M. Harun Department of Economics and Finance Texas A&M University Kingsville 700 University Boulevard, MSC 186, Kingsville, TX 78363. Tel: 361-593-3938
More informationA New Measure of Monetary Policy Shocks
A New Measure of Monetary Policy Shocks Xu Zhang December 3, 2018 Link to Most Recent Version Abstract This paper constructs a new measure of monetary policy shocks that is orthogonal to fundamentals by
More informationGovernment Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data
Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data Valerie A. Ramey University of California, San Diego and NBER and Sarah Zubairy Texas A&M April 2015 Do Multipliers
More informationTHE CHANGING PROBABILITY OF A MONETARY POLICY RESPONSE TO INFLATION AND EMPLOYMENT ANNOUNCEMENTS
THE CHANGING PROBABILITY OF A MONETARY POLICY RESPONSE TO INFLATION AND EMPLOYMENT ANNOUNCEMENTS Adrienne A. Kearney University of Maine INTRODUCTION The response of Federal Reserve policymakers and financial
More informationThe Macroeconomic Policy Model
The Macroeconomic Policy Model This lecture provides an expanded framework for determining the inflation rate in a model where the Fed follows a simple nominal interest rate rule. Price Adjustment A. The
More informationMacroeconomics 2. Lecture 5 - Money February. Sciences Po
Macroeconomics 2 Lecture 5 - Money Zsófia L. Bárány Sciences Po 2014 February A brief history of money in macro 1. 1. Hume: money has a wealth effect more money increase in aggregate demand Y 2. Friedman
More informationBANK LOAN COMPONENTS AND THE TIME-VARYING EFFECTS OF MONETARY POLICY SHOCKS
BANK LOAN COMPONENTS AND THE TIME-VARYING EFFECTS OF MONETARY POLICY SHOCKS WOUTER J. DENHAAN London Business School and CEPR STEVEN W. SUMNER University of San Diego GUY YAMASHIRO California State University,
More informationHow does an increase in government purchases affect the economy?
How does an increase in government purchases affect the economy? Martin Eichenbaum and Jonas D. M. Fisher Introduction and summary A classic question facing macroeconomists is: How does an increase in
More informationThe Instability in the Monetary Policy Reaction Function and the Estimation of Monetary Policy Shocks
MPRA Munich Personal RePEc Archive The Instability in the Monetary Policy Reaction Function and the Estimation of Monetary Policy Shocks N. Kundan Kishor and Monique Newiak University of Wisconsin-Milwaukee
More informationProfessor Christina Romer. LECTURE 22 FISCAL POLICY April 14, 2016
Economics 2 Spring 2016 Professor Christina Romer Professor David Romer LECTURE 22 FISCAL POLICY April 14, 2016 I. REVIEW OF THE KEYNESIAN CROSS DIAGRAM A. Determination of output in the short run B. What
More informationCredit Channel of Monetary Policy between Australia and New. Zealand: an Empirical Note
Credit Channel of Monetary Policy between Australia and New Zealand: an Empirical Note Tomoya Suzuki Faculty of Economics Ryukoku University 67 Tsukamoto-cho Fukakusa Fushimi-ku Kyoto 612-8577 JAPAN E-mail:
More informationOnline Appendix: Asymmetric Effects of Exogenous Tax Changes
Online Appendix: Asymmetric Effects of Exogenous Tax Changes Syed M. Hussain Samreen Malik May 9,. Online Appendix.. Anticipated versus Unanticipated Tax changes Comparing our estimates with the estimates
More informationProfessor Christina Romer. LECTURE 22 FISCAL POLICY April 14, 2016
Economics 2 Spring 2016 Professor Christina Romer Professor David Romer LECTURE 22 FISCAL POLICY April 14, 2016 I. REVIEW OF THE KEYNESIAN CROSS DIAGRAM A. Determination of output in the short run B. What
More informationThe Time-Varying Effect of Monetary Policy on Asset Prices
FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES The Time-Varying Effect of Monetary Policy on Asset Prices Pascal Paul Federal Reserve Bank of San Francisco January 2018 Working Paper 2017-09
More informationEstimating the effects of fiscal policy in Structural VAR models
Estimating the effects of fiscal policy in Structural VAR models Hilde C. Bjørnland BI Norwegian Business School Modell-og metodeutvalget, Finansdepartementet 3 June, 2013 HCB (BI) Fiscal policy FinDep
More informationLECTURE 11 Monetary Policy at the Zero Lower Bound: Quantitative Easing. November 2, 2016
Economics 210c/236a Fall 2016 Christina Romer David Romer LECTURE 11 Monetary Policy at the Zero Lower Bound: Quantitative Easing November 2, 2016 I. OVERVIEW Monetary Policy at the Zero Lower Bound: Expectations
More informationLECTURE 5 The Effects of Fiscal Changes: Cross-Section Evidence. September 21, 2016
Economics 210c/236a Fall 2016 Christina Romer David Romer LECTURE 5 The Effects of Fiscal Changes: Cross-Section Evidence September 21, 2016 I. OVERVIEW OF STATE-BASED STUDIES OF THE IMPACT OF FISCAL CHANGES
More informationMFE Macroeconomics Week 3 Exercise
MFE Macroeconomics Week 3 Exercise The first row in the figure below shows monthly data for the Federal Funds Rate and CPI inflation for the period 199m1-18m8. 1 FFR CPI inflation 8 1 6 4 1 199 1995 5
More informationWhat Drives Commodity Price Booms and Busts?
What Drives Commodity Price Booms and Busts? David Jacks Simon Fraser University Martin Stuermer Federal Reserve Bank of Dallas August 10, 2017 J.P. Morgan Center for Commodities The views expressed here
More informationLECTURE 6 The Effects of Fiscal Changes: Cross-Section Evidence. September 26, 2018
Economics 210c/236a Fall 2018 Christina Romer David Romer LECTURE 6 The Effects of Fiscal Changes: Cross-Section Evidence September 26, 2018 Office Hours No office hours this Thursday (9/27). Office hours
More informationA Model of Monetary Policy Shocks for Financial Crises and Normal Conditions
ISSN 936-533 A Model of Monetary Policy Shocks for Financial Crises and Normal Conditions John W. Keating, Logan J. Kelly, A. Lee Smith, and Victor J. Valcarcel October 24; Revised February 28 RWP 4 A
More informationEconomics 442 Macroeconomic Policy (Spring 2018) 3/7-3/12/2018. Instructor: Prof. Menzie Chinn UW Madison
Economics 442 Macroeconomic Policy (Spring 2018) 3/7-3/12/2018 Instructor: Prof. Menzie Chinn UW Madison Countercyclical Fiscal Policy Complicating the basic IS-LM model Analyzing the ARRA, using our tools
More informationThere is considerable interest in determining whether monetary policy
Economic Quarterly Volume 93, Number 3 Summer 2007 Pages 229 250 A Taylor Rule and the Greenspan Era Yash P. Mehra and Brian D. Minton There is considerable interest in determining whether monetary policy
More informationON THE LONG-TERM MACROECONOMIC EFFECTS OF SOCIAL SPENDING IN THE UNITED STATES (*) Alfredo Marvão Pereira The College of William and Mary
ON THE LONG-TERM MACROECONOMIC EFFECTS OF SOCIAL SPENDING IN THE UNITED STATES (*) Alfredo Marvão Pereira The College of William and Mary Jorge M. Andraz Faculdade de Economia, Universidade do Algarve,
More informationUsing Exogenous Changes in Government Spending to estimate Fiscal Multiplier for Canada: Do we get more than we bargain for?
Using Exogenous Changes in Government Spending to estimate Fiscal Multiplier for Canada: Do we get more than we bargain for? Syed M. Hussain Lin Liu August 5, 26 Abstract In this paper, we estimate the
More informationDoes a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates
Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates Luca Dedola,#, Georgios Georgiadis, Johannes Gräb and Arnaud Mehl European Central Bank, # CEPR Monetary Policy in Non-standard
More informationSupplementary Appendix. July 22, 2016
For Online Publication Supplementary Appendix News Shocks In Open Economies: Evidence From Giant Oil Discoveries July 22, 2016 1 Supplementary Appendix C: Model Graphs -.06-.04-.02 0.02.04 Sector 1 Output
More informationMonetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs
Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs Dario Caldara Edward Herbst November 1, 216 Abstract This paper provides new evidence on the importance of monetary
More informationInternational spillovers of the Fed and ECB monetary policy surprises
International spillovers of the Fed and ECB monetary policy surprises Marek Jarociński Are narrative monetary policy shock measures contaminated by global shocks? Michele Ca Zorzi, Massimo Ferrari & Georgios
More informationNBER WORKING PAPER SERIES MONETARY POLICY AND SECTORAL SHOCKS: DID THE FED REACT PROPERLY TO THE HIGH-TECH CRISIS? Claudio Raddatz Roberto Rigobon
NBER WORKING PAPER SERIES MONETARY POLICY AND SECTORAL SHOCKS: DID THE FED REACT PROPERLY TO THE HIGH-TECH CRISIS? Claudio Raddatz Roberto Rigobon Working Paper 9835 http://www.nber.org/papers/w9835 NATIONAL
More informationMonetary and Fiscal Policy
Monetary and Fiscal Policy Part 3: Monetary in the short run Lecture 6: Monetary Policy Frameworks, Application: Inflation Targeting Prof. Dr. Maik Wolters Friedrich Schiller University Jena Outline Part
More informationExchange Rates and Uncovered Interest Differentials: The Role of Permanent Monetary Shocks. Stephanie Schmitt-Grohé and Martín Uribe
Exchange Rates and Uncovered Interest Differentials: The Role of Permanent Monetary Shocks Stephanie Schmitt-Grohé and Martín Uribe Columbia University December 1, 218 Motivation Existing empirical work
More informationThe Economic Effects of Government Spending * (Preliminary Draft)
The Economic Effects of Government Spending * (Preliminary Draft) Matthew Hall and Aditi Thapar University of Michigan February 4, 7 Abstract We create a forecast-based measure of government spending shocks
More informationRevisionist History: How Data Revisions Distort Economic Policy Research
Federal Reserve Bank of Minneapolis Quarterly Review Vol., No., Fall 998, pp. 3 Revisionist History: How Data Revisions Distort Economic Policy Research David E. Runkle Research Officer Research Department
More informationDo Fed Forecast Errors Matter?
Do Fed Forecast Errors Matter? Pao-Lin Tien Bureau of Economic Analysis Washington, DC 20233 USA Pao-Lin.Tien@bea.gov Tara M. Sinclair The George Washington University Washington, DC 20052 USA and Center
More informationUCD CENTRE FOR ECONOMIC RESEARCH WORKING PAPER SERIES
UCD CENTRE FOR ECONOMIC RESEARCH WORKING PAPER SERIES 2006 Measuring the NAIRU A Structural VAR Approach Vincent Hogan and Hongmei Zhao, University College Dublin WP06/17 November 2006 UCD SCHOOL OF ECONOMICS
More informationProfessor Christina Romer. LECTURE 21 FISCAL POLICY April 10, 2018
Economics 2 Spring 2018 Professor Christina Romer Professor David Romer LECTURE 21 FISCAL POLICY April 10, 2018 I. REVIEW OF THE KEYNESIAN CROSS DIAGRAM A. Determination of output in the short run B. What
More informationI nstrumental variables estimation on a
Christopher A. Sims is a member of the Economics Department at Yale University. Commentary Christopher A. Sims I nstrumental variables estimation on a single equation is used to estimate the causal effects
More informationUNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 13 DOES FISCAL POLICY MATTER?
UNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 13 DOES FISCAL POLICY MATTER? MARCH 5, 2018 I. THE EFFECTS OF FISCAL POLICY IN THE IS-MP-IA MODEL
More informationMicroeconomic Foundations of Incomplete Price Adjustment
Chapter 6 Microeconomic Foundations of Incomplete Price Adjustment In Romer s IS/MP/IA model, we assume prices/inflation adjust imperfectly when output changes. Empirically, there is a negative relationship
More informationThe Crude Oil Futures Curve, the U.S. Term Structure and Global Macroeconomic Shocks
The Crude Oil Futures Curve, the U.S. Term Structure and Global Macroeconomic Shocks Ron Alquist Gregory H. Bauer Antonio Diez de los Rios Bank of Canada Bank of Canada Bank of Canada November 20, 2012
More informationInformation from "nancial markets and VAR measures of monetary policy
European Economic Review 43 (1999) 825}837 Information from "nancial markets and VAR measures of monetary policy Fabio C. Bagliano*, Carlo A. Favero Dipartimento di Scienze Economiche e Finanziarie, Universita%
More informationMonetary policy under uncertainty
Chapter 10 Monetary policy under uncertainty 10.1 Motivation In recent times it has become increasingly common for central banks to acknowledge that the do not have perfect information about the structure
More informationMODELING THE INFLUENCE OF FISCAL POLICY ON INFLATION
FISCAL POLICY AND INFLATION MODELING THE INFLUENCE OF FISCAL POLICY ON INFLATION CHRISTOPHER A. SIMS 1. WE NEED TO START MODELING FISCAL-MONETARY INTERACTIONS In the US currently, the public s beliefs,
More informationThe Distributional Effects of Government Spending Shocks on Inequality
The Distributional Effects of Government Spending Shocks on Inequality Davide Furceri, Jun Ge, Prakash Loungani, and Giovanni Melina International Monetary Fund G4 Special Workshop on Growth and Reducing
More informationAre the effects of monetary policy shocks big or small? *
Are the effects of monetary policy shocks big or small? * Olivier Coibion College of William and Mary College of William and Mary Department of Economics Working Paper Number 9 Current Version: April 211
More informationThe Economic Effects of Government Spending * (First Draft)
The Economic Effects of Government Spending * (First Draft) Matthew Hall and Aditi Thapar University of Michigan August 5, 6 Abstract We create a forecast-based measure of government spending shocks from
More informationPUTTING M BACK IN MONETARY POLICY
PUTTING M BACK IN MONETARY POLICY ERIC M. LEEPER AND JENNIFER E. ROUSH Abstract. Money demand and the stock of money have all but disappeared from monetary policy analyses. Remarkably, it is more common
More informationLECTURE 9 The Effects of Credit Contraction and Financial Crises: Balance Sheet and Cash Flow Effects. October 24, 2018
Economics 210c/236a Fall 2018 Christina Romer David Romer LECTURE 9 The Effects of Credit Contraction and Financial Crises: Balance Sheet and Cash Flow Effects October 24, 2018 I. OVERVIEW AND GENERAL
More informationBANKS LOAN PORTFOLIO AND THE MONETARY TRANSMISSION MECHANISM
BANKS LOAN PORTFOLIO AND THE MONETARY TRANSMISSION MECHANISM WOUTER J. DENHAAN London Business School and CEPR STEVEN W. SUMNER University of San Diego GUY M. YAMASHIRO California State University, Long
More informationNBER WORKING PAPER SERIES HOW LARGE ARE THE EFFECTS OF TAX CHANGES? Carlo Favero Francesco Giavazzi
NBER WORKING PAPER SERIES HOW LARGE ARE THE EFFECTS OF TAX CHANGES? Carlo Favero Francesco Giavazzi Working Paper 15303 http://www.nber.org/papers/w15303 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts
More informationThe impact of monetary policy on household borrowing - a high-frequency IV identification
SVERIGES RIKSBANK 351 WORKING PAPER SERIES The impact of monetary policy on household borrowing - a high-frequency IV identification Maria Sandström February 2018 WORKING PAPERS ARE OBTAINABLE FROM www.riksbank.se/en/research
More informationMeasuring oil-price shocks using market-based information
FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Measuring oil-price shocks using market-based information Michele Cavallo Federal Reserve Bank of San Francisco Michele.Cavallo@sf.frb.org Tao
More informationMeasuring Oil-price Shocks Using Market-based Information
Measuring Oil-price Shocks Using Market-based Information Tao Wu Michele Cavallo This version: January 29 First draft: September 26 Abstract This paper takes on a narrative and quantitative approach to
More informationWORKING PAPER NO EXPECTATIONS AND THE EFFECTS OF MONETARY POLICY. Laurence Ball Economics Department Johns Hopkins University
WORKING PAPERS RESEARCH DEPARTMENT WORKING PAPER NO. 01-12 EXPECTATIONS AND THE EFFECTS OF MONETARY POLICY Laurence Ball Economics Department Johns Hopkins University Dean Croushore Federal Reserve Bank
More informationSupplementary Appendix to Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data
Supplementary Appendix to Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data Valerie A. Ramey University of California, San Diego and NBER Sarah Zubairy Texas
More informationUNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 4
UNIVERSITY OF CALIFORNIA Economics 134 DEPARTMENT OF ECONOMICS Spring 2018 Professor David Romer LECTURE 4 REVIEW OF IS LM/MP FRAMEWORK JANUARY 29, 2018 I. THE IS LM/MP MODEL A. Overview 1. Introduction
More informationHow monetary policy affects economic activity
Nathan S. Balke Associate Professor of Economics Southern Methodist University and Visiting Consultant Kenneth M. Emery Senior Economist The Federal Funds Rate as an Indicator of Monetary Policy: Evidence
More informationChapter 9, section 3 from the 3rd edition: Policy Coordination
Chapter 9, section 3 from the 3rd edition: Policy Coordination Carl E. Walsh March 8, 017 Contents 1 Policy Coordination 1 1.1 The Basic Model..................................... 1. Equilibrium with Coordination.............................
More informationMonetary Stylized Facts
Monetary Stylized Facts Long-run relationships Distinction between correlation and causation Short run relationships Distinction between correlation and causation 1 Monetary Indicators and Output, Inflation
More informationMonetary Policy and Sectoral Shocks: Did the Federal Reserve React Properly to the High-Tech Crisis?
Public Disclosure Authorized Public Disclosure Authorized Monetary Policy and Sectoral Shocks: Did the Federal Reserve React Properly to the High-Tech Crisis? Claudio Raddatz Roberto Rigobon DECRG Sloan
More informationMonetary Policy and Long-term U.S. Interest Rates
September 2004 (Revised) Monetary Policy and Long-term U.S. Interest Rates Hakan Berument Bilkent University Ankara, Turkey Richard T. Froyen* University of North Carolina Chapel Hill, North Carolina *Corresponding
More informationAnswers to Problem Set #8
Macroeconomic Theory Spring 2013 Chapter 15 Answers to Problem Set #8 1. The five equations that make up the dynamic aggregate demand aggregate supply model can be manipulated to derive long-run values
More informationPractical Issues in Monetary Policy Targeting
2 Practical Issues in Monetary Policy Targeting by Stephen G Cecchetti Stephen G Cecchetti is a professor of economics at Ohio State University and a research associate at the National Bureau of Economic
More informationThe Effects of Monetary Policy on Asset Price Bubbles: Some Evidence
The Effects of Monetary Policy on Asset Price Bubbles: Some Evidence Jordi Galí Luca Gambetti September 2013 Jordi Galí, Luca Gambetti () Monetary Policy and Bubbles September 2013 1 / 17 Monetary Policy
More informationNew evidence on the effects of US monetary policy on exchange rates
Economics Letters 71 (2001) 255 263 www.elsevier.com/ locate/ econbase New evidence on the effects of US monetary policy on exchange rates a b, * Sarantis Kalyvitis, Alexander Michaelides a University
More informationTopic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities
Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities - The models we studied earlier include only real variables and relative prices. We now extend these models to have
More informationEffect of Monetary Policy on Commercial Banks Across Different Business Conditions
1 Effect of Monetary Policy on Commercial Banks Across Different Business Conditions Syed M. Harun Texas A&M University-Kingsville, USA M. Kabir Hassan University of New Orleans, USA Tarek S. Zaher Indiana
More informationGlobal and National Macroeconometric Modelling: A Long-run Structural Approach Overview on Macroeconometric Modelling Yongcheol Shin Leeds University
Global and National Macroeconometric Modelling: A Long-run Structural Approach Overview on Macroeconometric Modelling Yongcheol Shin Leeds University Business School Seminars at University of Cape Town
More informationMonetary Policy and Resource Mobility
Monetary Policy and Resource Mobility 2th Anniversary of the Bank of Finland Carl E. Walsh University of California, Santa Cruz May 5-6, 211 C. E. Walsh (UCSC) Bank of Finland 2th Anniversary May 5-6,
More informationMoney-Income Causality: VAR Estimation 1
Money-Income Causality: VAR Estimation 1 We now seek to estimate the U.S. macroeconomy using vector autoregressions and vector error correction models. This is the standard method for estimating the effects
More informationPart VII. How Successful Has Inflation Targeting Been?
Part VII. How Successful Has Inflation Targeting Been? An initial look suggests that inflation has been a success: inflation was within or below the target range for all countries, and noticeably below
More informationOutput gap uncertainty: Does it matter for the Taylor rule? *
RBNZ: Monetary Policy under uncertainty workshop Output gap uncertainty: Does it matter for the Taylor rule? * Frank Smets, Bank for International Settlements This paper analyses the effect of measurement
More informationCredit Shocks and the U.S. Business Cycle. Is This Time Different? Raju Huidrom University of Virginia. Midwest Macro Conference
Credit Shocks and the U.S. Business Cycle: Is This Time Different? Raju Huidrom University of Virginia May 31, 214 Midwest Macro Conference Raju Huidrom Credit Shocks and the U.S. Business Cycle Background
More informationChapter 4. Fiscal Multipliers: How Will Consolidation Affect Latin America and the Caribbean? Regional Economic Outlook: Western Hemisphere May 2018
Regional Economic Outlook: Western Hemisphere May 2018 Chapter 4 Fiscal Multipliers: How Will Consolidation Affect Latin America and the Caribbean? Yan Carrière-Swallow, Antonio David, Daniel Leigh & Jorge
More informationFinancial Crises and Asset Prices. Tyler Muir June 2017, MFM
Financial Crises and Asset Prices Tyler Muir June 2017, MFM Outline Financial crises, intermediation: What can we learn about asset pricing? Muir 2017, QJE Adrian Etula Muir 2014, JF Haddad Muir 2017 What
More informationMeasuring the Channels of Monetary Policy Transmission: A Factor-Augmented Vector Autoregressive (Favar) Approach
Measuring the Channels of Monetary Policy Transmission: A Factor-Augmented Vector Autoregressive (Favar) Approach 5 UDK: 338.23:336.74(73) DOI: 10.1515/jcbtp-2016-0009 Journal of Central Banking Theory
More informationGovernment Spending Shocks in Quarterly and Annual Time Series
Government Spending Shocks in Quarterly and Annual Time Series Benjamin Born University of Bonn Gernot J. Müller University of Bonn and CEPR August 5, 2 Abstract Government spending shocks are frequently
More informationSoft landings on a bumpy runway
Soft landings on a bumpy runway Francesca Eugeni and Charles L. Evans In February 1994, the Federal Open Market Committee (FOMC) began a slow process of increasing the federal funds rate by 3 basis points.
More information