美联储的常规和非常规货币政策对宏观经济的影响.pdf

1、BackgroundHF MP SurprisesStructural VARResultsConclusionsThe Macroeconomic Effects of the FederalReserves Conventional and UnconventionalMonetary PoliciesEric T.SwansonUniversity of California,IrvineIMFER ConferenceThe Future of Macroeconomic PolicyNorges Bank,OsloJune 15,2023BackgroundHF MP Surpris

2、esStructural VARResultsConclusionsMotivationDuring and after the Great Recession,the Fed and other centralbanks conducted unconventional monetary policy on a largescaleExtensive evidence that forward guidance,LSAPs had signifi cantfi nancial market effects(Swanson,2021)But there is very little evide

3、nce on the macroeconomic effects ofthese policiesMain problem:there are only about 8 FOMC announcements peryear,interest rate changes around FOMC announcements aretypically small(23bp)BackgroundHF MP SurprisesStructural VARResultsConclusionsThis PaperMeasures monetary policy innovations using high-f

4、requencyinterest rate changes around:FOMC announcementspost-FOMC press conferencesFOMC meeting minutes releasesspeeches,testimony by Fed Chairspeeches,testimony by Fed Vice ChairDecomposes these innovations into news about:federal funds rateforward guidancelarge-scale asset purchases(LSAPs)Uses thes

5、e components as external instruments in a monetarypolicy VAR to estimate effects of federal funds rate,forwardguidance,and LSAPs on macroeconomic variablesBackgroundHF MP SurprisesStructural VARResultsConclusionsRelated LiteratureSwanson(2021 JME)decomposes HF interest rate changes around FOMC annou

6、ncementsinto federal funds rate,forward guidance,and LSAP componentsfi nds unconventional policies about equally effective as fed funds rateSwanson and Jayawickrema(2023 WP)measure HF interest rate changes around FOMC announcements,press conferences,minutes,Chair speeches,Vice Chair speechesdecompos