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A New Measure of Monetary Shocks: Derivation and Implications
Abstract
This paper develops a measure of U.S. monetary policy shocks for the period 1969–1996 that is relatively free of endogenous and anticipatory movements. Quantitative and narrative records are used to infer the Federal Reserve's intentions for the federal funds rate around FOMC meetings. This series is regressed on the Federal Reserve's internal forecasts to derive a measure free of systematic responses to information about future developments. Estimates using the new measure indicate that policy has large, relatively rapid, and statistically significant effects on both output and inflation. The effects are substantially stronger and quicker than those obtained using conventional indicators.
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Citations
Cited by
Angrist, J. D., & Pischke, J.-S. (2010) · Journal of Economic Perspectives · doi:10.1257/jep.24.2.3 · Cited by 1,566
Monetary Policy Surprises, Credit Costs, and Economic Activity
Gertler, M., & Karadi, P. (2015) · American Economic Journal: Macroeconomics · doi:10.1257/mac.20130329 · Cited by 1,455
Shiller, R. J. (2017) · American Economic Review · doi:10.1257/aer.107.4.967 · Cited by 1,004
CENTRAL BANK POLICIES AND INCOME AND WEALTH INEQUALITY: A SURVEY
Colciago, A., Samarina, A., & de Haan, J. (2019) · Journal of Economic Surveys · doi:10.1111/joes.12314 · Cited by 284
Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua (2009)
Imbens, G. W. (2010) · Journal of Economic Literature · doi:10.1257/jel.48.2.399 · Cited by 278
Metadata
- Authors
- Romer, C. D., & Romer, D. H.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2004-09-01
- Volume
- 94
- Issue
- 4
- Pages
- 1055-1084
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3125175487
- Cited by
- 1,613
- References
- 0
- FWCI
- 19.43
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
