Monetary Policy Shocks

Taeyoung Doh · Dongho Song · Shu-Kuei Yang

This paper proposes a text-based measure of monetary policy stance by modelling FOMC post-meeting statements as convex combinations of the staff-drafted dovish ("alternative A") and hawkish …

John H. Cochrane

Commenting on Christina and David Romer's claim that active Federal Reserve policy ended postwar recessions, Cochrane argues that their historical narrative cannot distinguish a Fed that reacts to …

John W. Keating · Logan J. Kelly · A. Lee Smith · Victor J. Valcarcel

This 2019 Journal of Money, Credit and Banking paper by John Keating, Logan Kelly, A. Lee Smith, and Victor Valcarcel asks whether replacing the federal funds rate with Divisia M4 (DM4) -- a …

Christina D. Romer · David H. Romer

This 2004 American Economic Review paper by Christina D. Romer and David H.

Paolo Giordani

This 2004 Journal of Monetary Economics paper by Paolo Giordani offers an analytical and empirical alternative to the Sims (1992) forward-looking-information explanation of the "price puzzle" — the …

Olivier Coibion

This 2012 American Economic Journal: Macroeconomics paper by Olivier Coibion asks why standard recursive VARs and the Romer-Romer (2004) narrative approach produce such different estimates of the real …

John H. Cochrane

Discussing Christina and David Romer's "A New Measure of Monetary Shocks," Cochrane argues the paper's key innovation -- that Greenbook forecasts are a sufficient statistic for the Fed's information …

David Altig · Lawrence J. Christiano · Martin Eichenbaum · Jesper Lindé

Estimated New Keynesian models reconcile inertial inflation with Calvo pricing only by forcing firms to re-optimise prices once every two years or more, which micro price data contradict. Making …

Sophocles N. Brissimis · Nicholas S. Magginas

This 2006 Journal of Monetary Economics paper by Sophocles Brissimis and Nicholas Magginas asks whether augmenting a standard monetary VAR with forward-looking information can resolve the "price …

David O. Cushman · Tao Zha

This 1997 Journal of Monetary Economics paper by David Cushman and Tao Zha addresses the "exchange rate puzzle" and "price puzzle" that plague conventional recursive (Choleski) VAR studies of monetary …

Valerie A. Ramey

This 2016 Handbook of Macroeconomics chapter by Valerie Ramey surveys how macroeconomists identify structural shocks to monetary policy, fiscal policy, and technology, and how those shocks propagate …

Ben S. Bernanke · Ilian Mihov

Bernanke and Mihov (1998, QJE) address a measurement problem in the monetary-VAR literature: the era's dominant methods for extracting a "monetary policy shock" -- Cholesky orderings built around the …

Ben S. Bernanke · Jean Boivin · Piotr Eliasz

This 2005 Quarterly Journal of Economics paper by Ben Bernanke, Jean Boivin, and Piotr Eliasz proposes the Factor-Augmented VAR (FAVAR) to address a specific problem with standard small monetary VARs: …

Adrien Auclert · Matthew Rognlie · Ludwig Straub

Estimating a heterogeneous-agent New Keynesian model with "sticky expectations" that simultaneously matches households' large immediate marginal propensities to consume and the hump-shaped aggregate …

S. Mahdi Barakchian · Christopher Crowe

This 2013 Journal of Monetary Economics paper by S. Mahdi Barakchian and Christopher Crowe argues that the standard toolkit for identifying monetary policy shocks -- recursive VARs …

Lawrence J. Christiano · Martin Eichenbaum · Charles L. Evans

This chapter in the 1999 Handbook of Macroeconomics (Volume 1) by Lawrence Christiano, Martin Eichenbaum, and Charles Evans surveys and unifies the VAR-based literature on identifying monetary policy …

Kenneth N. Kuttner

This 2001 Journal of Monetary Economics paper by Kenneth N. Kuttner addresses a basic errors-in-variables problem in earlier event studies of monetary policy and interest rates (notably Cook and Hahn …

Robert E. Lucas, Jr.

Writing for the 30th anniversary of Milton Friedman and Anna Schwartz's *A Monetary History of the United States, 1867-1960*, Lucas argues the book's lasting contribution is a normative one -- it …

John H. Cochrane

Surveying the evidence for monetary, technology, oil-price, and credit shocks as drivers of postwar U.S. business cycles, Cochrane finds that none of these popular observable candidates robustly …

John W. Keating

This 1992 Federal Reserve Bank of St. Louis Review paper (a policy review, not peer-reviewed) by John W.

Anusha Chari · Karlye Dilts Stedman · Christian Lundblad

Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …

David B. Gordon · Eric M. Leeper

This 1994 Journal of Political Economy paper by David B. Gordon and Eric M.

John H. Cochrane · Monika Piazzesi

This 2002 American Economic Review Papers and Proceedings essay by John Cochrane and Monika Piazzesi proposes a high-frequency alternative to monthly-VAR identification of monetary policy shocks, …

Maurizio Michael Habib · Fabrizio Venditti

Decomposing a global risk factor built from stock returns in 63 economies into structural shocks, this paper finds that exogenous shifts in the financial sector's risk-bearing capacity matter more …

Selva Demiralp · Òscar Jordà

Demiralp and Jorda argue that since the Fed began publicly announcing its Federal funds rate target in 1994, it has manipulated short-term rates through a Pavlovian "announcement effect" -- moral …

Silvia Miranda-Agrippino · Hélène Rey

A single global factor extracted from a large panel of risky asset prices traded around the world falls sharply after a US monetary contraction, alongside deleveraging by global banks, a rise in …

David Bügel · Albert Hidalgo · Ralph Luetticke

Asking whether unconventional monetary policy works differently from an interest-rate cut has been hard to answer because the two kinds of policy have been measured with different tools, so any …

Nathan S. Balke · Kenneth M. Emery

This 1994 Federal Reserve Bank of Dallas Economic Review paper by Nathan S. Balke and Kenneth M.

Harald Uhlig

This 2005 Journal of Monetary Economics paper by Harald Uhlig proposes an "agnostic" sign-restriction procedure for identifying monetary policy shocks in a VAR, designed to test rather than assume the …

John H. Cochrane

Even after monetary policy shocks are "correctly" identified in a VAR, Cochrane argues a further, purely theoretical identifying assumption -- whether anticipated money can affect output -- is needed …

Eric M. Leeper · Christopher A. Sims · Tao Zha

This 1996 Brookings Papers on Economic Activity paper by Eric Leeper, Christopher Sims, and Tao Zha asks what monetary policy actually does, and argues that the answer the identified-VAR literature …

Olivier Coibion · Yuriy Gorodnichenko

This 2012 American Economic Journal: Macroeconomics paper by Olivier Coibion and Yuriy Gorodnichenko adjudicates between two observationally similar explanations for the federal funds rate target's …