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计量、金融和大数据分析workshop：A Unified Measure of Fed Monetary Shocks
发布日期：2019-10-11 12:00 来源：
【题目】： A Unified Measure of Fed Monetary Shocks
【主讲人】：吴文斌
【时间】：2019年10月11日（周五）10：00-11：30
【地点】：北大经济学院107室
【摘要】：We develop a US monetary policy shock series that bridges periods of conventional and unconventional policymaking and has no central bank information effect. We attribute differences between our measure and well-known alternatives to our econometric procedure, a heteroscedasticity-based partial least squares approach combined with Fama-MacBeth regressions, and our using the full maturity spectrum of interest rates. Furthermore, shocks to monetary policy in series that are devoid of (embody) the information effect display conventionally-signed (perverse) impulse responses of output and inflation, confirming an hypothesis in the literature. Our evidence is of first-order importance to central bank staff modeling of monetary policy.
【主讲人简介】：吴文斌
Assistant Professor, Fanhai International School of Finance (FISF) , Fudan University
PhD in Economics, 2017, University of California - San Diego (UCSD)
Fields: Monetary Economics; Applied Macro and Finance; Time Series
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-
大陆成人直播
-
计量、金融和大数据分析workshop：A Unified Measure of Fed Monetary Shocks
发布日期：2019-10-11 12:00 来源：
【题目】： A Unified Measure of Fed Monetary Shocks
【主讲人】：吴文斌
【时间】：2019年10月11日（周五）10：00-11：30
【地点】：北大经济学院107室
【摘要】：We develop a US monetary policy shock series that bridges periods of conventional and unconventional policymaking and has no central bank information effect. We attribute differences between our measure and well-known alternatives to our econometric procedure, a heteroscedasticity-based partial least squares approach combined with Fama-MacBeth regressions, and our using the full maturity spectrum of interest rates. Furthermore, shocks to monetary policy in series that are devoid of (embody) the information effect display conventionally-signed (perverse) impulse responses of output and inflation, confirming an hypothesis in the literature. Our evidence is of first-order importance to central bank staff modeling of monetary policy.
【主讲人简介】：吴文斌
Assistant Professor, Fanhai International School of Finance (FISF) , Fudan University
PhD in Economics, 2017, University of California - San Diego (UCSD)
Fields: Monetary Economics; Applied Macro and Finance; Time Series
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