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    题名: Time-Varying Response of Monetary Policy to Macroeconomic Conditions
    作者: Shen, Chung-Hua;Hakes, David R.;Brown, Kenneth
    沈中華
    贡献者: 金融系
    关键词: Discrete Choice Model;Federal Reserve;Monetary Policy;Price Level;kalman filter;Time Varying
    日期: 1999
    上传时间: 2015-03-24 11:44:58 (UTC+8)
    摘要: We reject the hypothesis that the Federal Reserve’s response to the macroeconomy over the period of 1953–1994 can be accurately represented with a fixed-parameter discrete choice model. Thus, we model the Fed’s time-varying response with a nonlinear Kalman filter. The estimated time paths of the reaction function coefficients suggest that the Fed has responded countercyclically to movements in the price level except for the middle 1970s when it accommodated inflation. The Fed has generally responded countercyclically to unemployment and output during recessions. However, it has not maintained a countercyclical policy during nonrecessionary times until the 1980s.
    關聯: Southern Economic Journal, 1999, vol. 65, issue 3, pages 584-593
    数据类型: article
    显示于类别:[金融學系] 期刊論文

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