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