Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
Name
SSRN-id2317697-1.pdf
Size
384.25 KB
Format
Adobe PDF
Checksum (MD5)
c9866c38bd8edf1e7663f1f0ad2b9e4e
Author(s)
Jordà, Òscar
Kuersteiner, Guido M.
Angrist, Joshua
Date Issued
May 2017
Journal
Journal of Business & Economic Statistics
Publisher
Informa UK Limited
Citation
Angrist, Joshua D. et al. “Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited.” Journal of Business & Economic Statistics (June 2016): 1–17 © 2017 American Statistical Association
Version
Original manuscript
Abstract
We develop flexible semiparametric time series methods for the estimation of the causal effect of monetary policy on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macrodynamic setting, without the need for assumptions about the process generating macroeconomic outcomes. The proposed estimation strategy, based on propensity score weighting, easily accommodates asymmetric and nonlinear responses. Using this estimator, we show that monetary tightening has clear effects on the yield curve and on economic activity. Monetary accommodation, however, appears to generate less pronounced responses from both. Estimates for recent financial crisis years display a similarly dampened response to monetary accommodation.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1080/07350015.2016.1204919
