A unified measure of Fed monetary policy shocks

Chunya Bu, John Rogers and Wenbin Wu

Journal of Monetary Economics, 2021, vol. 118, issue C, 331-349

Abstract: We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometric procedure, a partial least squares approach, and our using the full maturity spectrum of interest rates in estimating the shock. We find that shocks to our monetary policy series have particularly large effects on maturities in the middle of the term structure and produce conventionally-signed impulse responses of output and inflation.

Date: 2021
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Related works:
Working Paper: A Unified Measure of Fed Monetary Policy Shocks (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:118:y:2021:i:c:p:331-349

DOI: 10.1016/j.jmoneco.2020.11.002

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