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sidenav header background[10月11日]计量、金融和大数据分析workshop
发布日期:2019-10-09 09:39 来源:
【题目】: A Unified Measure of Fed Monetary Shocks
【主讲人】:吴文斌
Assistant Professor, Fudan University
【时间】:2019年10月11日(周五)10:00-11:30
【地点】:北大经济学院107室
【摘要】:We develop a US monetary policy shock series that bridges periods of conventional and unconventional policymaking and has no central bank information effect. We attribute differences between our measure and well-known alternatives to our econometric procedure, a heteroscedasticity-based partial least squares approach combined with Fama-MacBeth regressions, and our using the full maturity spectrum of interest rates. Furthermore, shocks to monetary policy in series that are devoid of (embody) the information effect display conventionally-signed (perverse) impulse responses of output and inflation, confirming an hypothesis in the literature. Our evidence is of first-order importance to central bank staff modeling of monetary policy.
【主讲人简介】:
吴文斌
Assistant Professor, Fanhai International School of Finance (FISF) , Fudan University
PhD in Economics, 2017, University of California - San Diego (UCSD)
Fields: Monetary Economics; Applied Macro and Finance; Time Series
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