The Macroeconomic Effects of the Federal Reserve’s Conventional and Unconventional Monetary Policies

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE Imf Economic Review Pub Date : 2024-06-10 DOI:10.1057/s41308-024-00250-1

Eric T. Swanson

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Abstract

I separately identify and estimate the effects of innovations to the Federal Reserve’s federal funds rate, forward guidance, and large-scale asset purchase (LSAP) policies on the US economy. I extend the high-frequency identification strategy of Bauer and Swanson (NBER Macroecon Annu 37:87–155, 2023b) for monetary policy VARs by allowing each of the above policies to have possibly different economic effects. I follow Swanson (J Monetary Econ 118:32–53, 2021) and Swanson and Jayawickrema (Speeches by the Fed Chair Are More Important than FOMC Announcements: An Improved High-Frequency Measure of US Monetary Policy Shocks. University of California, Irvine, 2024) to separately identify federal funds rate, forward guidance, and LSAP components of monetary policy announcements using high-frequency interest rate changes around the Federal Open Market Committee (FOMC) announcements, post-FOMC press conferences, FOMC meeting minutes releases, and speeches and testimony by the Fed Chair and Vice Chair. I estimate that federal funds rate shocks had the most powerful effects on the US economy, followed by shocks to forward guidance and, lastly, LSAPs, although the standard errors around each of these estimates are substantial.

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美联储常规和非常规货币政策的宏观经济影响

我分别识别和估计了美联储联邦基金利率、前瞻性指导和大规模资产购买（LSAP）政策的创新对美国经济的影响。我扩展了 Bauer 和 Swanson（NBER Macroecon Annu 37:87-155，2023b）对货币政策 VAR 的高频识别策略，允许上述每项政策都可能产生不同的经济效应。我遵循 Swanson（J Monetary Econ 118:32-53, 2021）以及 Swanson 和 Jayawickrema（Speeches by the Fed Chair Are More Important than FOMC Announcements：An Improved High-Frequency Measure of US Monetary Policy Shocks.加州大学欧文分校，2024 年），利用联邦公开市场委员会（FOMC）公告、FOMC 会后新闻发布会、FOMC 会议纪要发布以及美联储主席和副主席演讲和证词前后的高频利率变化，分别识别货币政策公告中的联邦基金利率、前瞻性指导和 LSAP 部分。我估计联邦基金利率的冲击对美国经济的影响最大，其次是前瞻性指导的冲击，最后是 LSAPs 的冲击，尽管这些估计值的标准误差都很大。

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Imf Economic Review Multiple-

CiteScore

5.50

自引率

4.70%

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期刊介绍： The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome. The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein. Comments “The IMF Economic Review has been uniquely successful in publishing papers that rigorously analyze real international macroeconomic problems and in a manner that has immediate policy relevance. This success is owed to a great extent to the high quality of the editorial board, which is able to identify papers that are both relevant for policy and are executed using state-of-the-art tools so as to make the analysis compelling.” - Gita Gopinath, Economic Counsellor and Director of Research, IMF “IMF Economic Review is devoted to state-of-the-art research on the global economy. Given the Fund''s unique position on the front lines of surveillance and crisis management, anyone interested in international economic policy or in macroeconomics more generally will find this journal to be essential reading.” - Maurice Obstfeld, Professor of Economics at University of California, Berkeley; and former Economic Counsellor and Director of Research, IMF “There is great need for a rigorous academic publication that addresses the key global macro questions of our times. This is what the IMF Economic Review aims to be.” - Pierre-Olivier Gourinchas, Professor of Economics at University of California, Berkeley; and former Editor of the IMF Economic Review “To navigate the global crisis, and to take the best policy decisions, will require mobilizing and extending the knowledge we have about open economy macro, from the implications of liquidity traps, to the dangers of large fiscal deficits, to macro-financial interactions, to the contours of a better international monetary and financial system. My hope and my expectation is that the IMF Economic Review will be central to the effort.” - Olivier J. Blanchard, Peterson Institute for International Economics; former Economic Counsellor and Director of Research Department, IMF

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