Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited

Joshua Angrist, Oscar Jorda and Guido Kuersteiner

No 19355, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need for assumptions about the process generating macroeconomic outcomes. The proposed procedure, based on propensity score weighting, easily accommodates asymmetric and nonlinear responses. Application of this estimator to the effects of monetary restraint suggest contractionary policy slows real economic activity. By contrast, the Federal Reserve's ability to stimulate real economic activity through monetary expansion appears to be much more limited. Estimates for recent financial crisis years are similar to those for the earlier, pre-crisis period.

JEL-codes: C32 C54 E52 E58 E65 (search for similar items in EconPapers)
Date: 2013-08
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-mon
Note: EFG LS ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Published as Joshua D. Angrist, Òscar Jordà & Guido M. Kuersteiner (2017) Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2016.1204919

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Journal Article: Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited (2018)
Working Paper: Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited (2013)
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