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非常规货币政策与对经济变量的预期

Unconventional monetary policies and expectations on economic variables.

作者信息

Anzuini Alessio, Rossi Luca

机构信息

Bank of Italy, Directorate General for Economics, Statistics and Research, Rome, Italy.

出版信息

Empir Econ. 2022;63(6):3027-3043. doi: 10.1007/s00181-022-02224-6. Epub 2022 Mar 9.

DOI:10.1007/s00181-022-02224-6
PMID:35280305
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC8905012/
Abstract

We investigate whether forward guidance and large scale asset purchases are effective in steering economic expectations in the USA. Using the series of monetary policy shocks recovered in Swanson (J Monet Econ 118:32-53, 2021), local projections, and an algorithm to select the best empirical model, we show that unconventional monetary policies are effective in tilting economic expectations in a direction consistent with central bankers' will. Our empirical findings provide two more insights: responses to LSAP shocks are stronger than those following a FG shock; responses to contractionary LSAP shocks are larger as compared to those stemming from expansionary ones.

摘要

我们研究前瞻性指引和大规模资产购买在美国引导经济预期方面是否有效。利用斯旺森（《货币经济学杂志》第118卷：32 - 53页，2021年）中恢复的一系列货币政策冲击、局部预测以及一种选择最佳实证模型的算法，我们表明非常规货币政策能够有效地使经济预期朝着与央行行长意愿一致的方向倾斜。我们的实证研究结果还提供了两点见解：对大规模资产购买冲击的反应强于对前瞻性指引冲击的反应；与扩张性大规模资产购买冲击相比，对收缩性大规模资产购买冲击的反应更大。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/713941124cfe/181_2022_2224_Fig5_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/a96bd3a88409/181_2022_2224_Fig1_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/f615f7989aad/181_2022_2224_Fig2_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/54ce489473dd/181_2022_2224_Fig3_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/0f2f0c7d660c/181_2022_2224_Fig4_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/713941124cfe/181_2022_2224_Fig5_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/a96bd3a88409/181_2022_2224_Fig1_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/f615f7989aad/181_2022_2224_Fig2_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/54ce489473dd/181_2022_2224_Fig3_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/0f2f0c7d660c/181_2022_2224_Fig4_HTML.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/39b6/8905012/713941124cfe/181_2022_2224_Fig5_HTML.jpg

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