Empirical Studies of Monetary Policy.
详细信息
文摘
Chapter 1 mainly focuses on literature reviews and clarifies the marginal contributions of the dissertation work. First of all,the recent developments in literatures on Taylor rule type monetary policy reaction function are reviewed. Especially the discrepancy in evaluations between prescription and description of monetary policy rates arouse intellectual interests. This paper intends to shed evaluate monetary policy using single equation monetary policy reaction function under different model specifications. In chapter 2,the parameter instability of Taylor rule is investigated. First,structural break test is used to detect potential changes in the parameters of a monetary policy reaction function. Then a rolling window scheme is adopted to describe the time variation. The empirical results also examine asset markets role in setting policy interest rate,both direct and indirect role. Direct impacts are investigated by augmenting the forward looking monetary policy reaction function with asset price changes. Indirect impacts are proxied by adjusting long run equilibrium real interest rate. In chapter 3,before the author introduces time varying parameter type monetary policy reaction function,a special econometric problem related to transition errors variance emerges. The parameters of TVP model can be estimated using maximum likelihood estimation implemented with Kalman filter. However,when the variance of transition error is very small,the maximum likelihood estimators will have a point mass at zero. This is so called pile-up problem. In this chapter,the author simulates the probability that monetary policy reaction function may run into pile-up problem and draw the conclusion that TVP monetary policy reaction function is less likely to encounter pile-up problem. In chapter 4,considering the limitations with rolling regression approach discussed in chapter 2,the author introduces a time varying parameter model with stochastic volatility to examine whether the Fed has systematically shifted its policy rule after 2000 and whether the Fed fails to respond to potential inflation changes. Empirical results suggest that even though monetary policy is easy and accommodative in terms of the nominal interest rate but it is appropriate regarding to medium term price stability and output growth. In chapter 5,the author depicts further development in monetary policy evaluation models. Single equation Taylor-rule type monetary policy reaction function has been estimated in Chapter 2 and 4 to provide evidence for monetary policy stance. However,the caveats of this model are evident. It fails to reflect feedback of policy instrument on targets and the error term only contains information of policy shocks but is not able to capture the changes in macroeconomic fundamentals. Two alternatives are commonly used but not free of shortcomings. VAR models coefficients barely have the similar indicative power as its single equation model counterpart； general equilibrium model requires locally unique stationarity conditions which may not be consistent with empirical evidence. This paper proposes a time-varying hybrid of two reduced form equations with one structural policy reaction function with stochastic volatility. This model inherits merits of single equation model and the caveats discussed here are appropriately taken into account.