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首页> 外文期刊>The quarterly review of economics and finance >Monetary policy regimes in macroeconomic data: An application of fractal analysis
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Monetary policy regimes in macroeconomic data: An application of fractal analysis

机译：宏观经济数据中的货币政策制度：分形分析的应用

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Macromonetary data are examined for behavioral stability over Alan Greenspan's tenure as chairman of the Federal Reserve System. Strong evidence of stochastic dependence is found using Lo's modified rescaled range tests, though not consistently over the earlier, as opposed to the later, subsample. This finding is suggestive of a change in fundamentals such as monetary policy. Then, five self-affine fractal analysis techniques for estimating the Hurst exponent, Mandelbrot-Levy characteristic exponent, and fractal dimension are employed to explore the data's fractal properties. Techniques are rescaled-range, power-spectral density, roughness-length, variogram, and wavelet analysis. Formal hypothesis tests provide further evidence of a change in monetary policy between the 1989-1996 and 1997-2006 subperiods. This change is manifested both in the behavior and distribution of month-to-month changes in monetary aggregates, ratios, and multipliers, and in the behavior and distribution of macroeconomic data. Most series become significantly less antipersistent after the breakpoint than before. Strong evidence is presented that U.S. monetary policy became actively interventionist after December 1996, and that the effectiveness of the Federal Reserve System has been lowered compared to the earlier period.
机译：在艾伦·格林斯潘（Alan Greenspan）担任美联储主席期间，对宏观货币数据的行为稳定性进行了检查。使用Lo的修改后的重新定标范围测试可以找到有力的随机依赖证据，尽管与较晚的子样本相比并不一致。这一发现暗示着货币政策等基本面的变化。然后，采用五种自仿射分形分析技术来估计赫斯特指数，Mandelbrot-Levy特征指数和分形维数，以探索数据的分形特性。技术包括重新缩放范围，功率谱密度，粗糙度长度，变异函数和小波分析。形式假设检验提供了1989-1996年和1997-2006年子时期之间货币政策变化的进一步证据。这种变化既体现在货币总量，比率和乘数的逐月变化的行为和分布，又表现在宏观经济数据的行为和分布。断点之后，大多数系列的抗持久性明显低于以前。强有力的证据表明，美国的货币政策在1996年12月之后成为积极的干预主义者，与早期相比，美联储的有效性有所下降。

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