IDENTIFICATION OF MONETARY POLICY SHOCKS FROM FOMC TRANSCRIPTS

Nataliia Ostapenko

No 123, University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia)

Abstract: I propose a new approach to identifying exogenous monetary policy shocks that requires no priors on the underlying macroeconomic structure, nor any observation of monetary policy actions. My approach entails directly estimating the unexpected changes in the federal funds rate as those which cannot be predicted from the internal Federal Open Market Committee's (FOMC) discussions. I employ deep learning and basic machine learning regressors to predict the effective federal funds rate from the FOMC's discussions without imposing any time-series structure. The result of the standard three variable Structural Vector Autoregression (SVAR) with my new measure shows that economic activity and inflation decline in response to a monetary policy shock.

Keywords: monetary policy; identification; shock; deep learning; FOMC; transcripts (search for similar items in EconPapers)
Pages: 52 pages
Date: 2020
New Economics Papers: this item is included in nep-big, nep-cba, nep-cmp, nep-ecm, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb123.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb123.pdf [301 Moved Permanently]--> https://mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb123.pdf [302 Found]--> https://majandus.ut.ee/et%c2%a0)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mtk:febawb:123

Access Statistics for this paper

More papers in University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia) Contact information at EDIRC.
Bibliographic data for series maintained by Anne Reino ().