Identifying and estimating the effects of unconventional monetary policy: how to do it and what have we learned?

Rossi Barbara

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Identifying and estimating the effects of unconventional monetary policy: how to do it and what have we learned?

机译：识别和估算非传统货币政策的影响：如何做到，我们学到了什么？

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The recent financial crisis led central banks to lower their interest rates in order to stimulate the economy until they hit the zero lower bound. How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as effective as conventional ones? And has the monetary policy transmission mechanism changed in the zero lower bound era? This article aims to provide an overview of the econometric challenges of and the solutions to the identification of monetary policy shocks in unconventional times as well as a survey of their empirical effects on the economy.

机译：最近的金融危机领导中央银行降低了利率，以刺激经济，直到它们击中零下限。如何在非传统时期确定货币政策冲击？是常规货币政策的非常规货币政策吗？零下限时代的货币策略传输机制有变化吗？本文旨在概述经济学挑战和解决方案，以确定在非传统时期的货币政策冲击以及对经济的实证效果调查。

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来源
《The econometrics journal》 |2021年第1期|C1-C32|共32页
作者
Rossi Barbara;
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作者单位

Univ Pompeu Fabra ICREA Barcelona GSE C Ramon Trias Fargas 25-27 Barcelona 08005 Spain|Univ Pompeu Fabra CREI C Ramon Trias Fargas 25-27 Barcelona 08005 Spain;

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原文格式 PDF
正文语种 eng
中图分类
关键词
shock identification; VARs; zero lower bound; unconventional monetary policy; monetary policy; external instruments; forward guidance;

机译：震惊识别;vars;零下限;非规定的货币政策;货币政策;外部仪器;前进指导;

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1. A SURVEY OF THE INTERNATIONAL EVIDENCE AND LESSONS LEARNED ABOUT UNCONVENTIONAL MONETARY POLICIES: IS A 'NEW NORMAL' IN OUR FUTURE? [J] . Lombardi Domenico, Siklos Pierre, St Amand Samantha Journal of Economic Surveys . 2018,第5期

机译：关于非常规货币政策的国际证据和经验总结：我们的未来是“新常态”吗？
2. Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model [J] . Rui Wang Journal of international commerce, economics and policy . 2019,第2期

机译：日本非常规货币政策：影子汇率估计DSGE模型的经验证据
3. Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model [J] . Rui Wang Journal of international commerce, economics and policy . 2019,第2期

机译：日本非传统货币政策：来自估计云层DSGE模型的经验证据
4. The Macroeconomic Effects of Unconventional Monetary Policy: Evidence from Japan [C] . Ryoya Nagao, Yoshihiro Kondo, Yoshiyuki Nakazono 統計関連学会連合大会 . 2020

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5. Unconventional Monetary Policy: Spillovers and Policy Effectiveness [D] . Stedman, Karlye Dilts 2019

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6. Identifying the Effects of Unjustified Confidence versus Overconfidence: Lessons Learned from Two Analytic Methods [O] . Andrew M. Parker, Eric R. Stone -1

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7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Identifying and estimating the effects of unconventional monetary policy: how to do it and what have we learned?

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