Estimating the Monetary Policy Rule Perceived by Forecasters--论文代写范文精选

这些变量之间的关系表明,预测者认为联邦公开市场委员会(FOMC)将未来政策作为未来经济状况的函数。在这篇essay代写范文中研究的政策规则被预测，自2008年底以来,联邦公开市场委员会将传统政策工具作为备用。、

Abstract
Communicating the expected future path of monetary policy to the public is inherently difficult. Policymakers often set a single policy instrument as a function of many different, and likely conflicting, macroeconomic indicators. In communicating their actions, central banks often explain how economic conditions affect the stance of monetary policy. By outlining how policy responds to economic conditions, the central bank implicitly communicates a policy rule that guides their decisionmaking process. Professional forecasters, in turn, attempt to identify this implicit monetary policy rule. 

Many economists and financial market participants regularly produce forecasts for inflation, unemployment, output growth, and interest rates. The relationship between these variables shows how forecasters perceive the Federal Open Market Committee (FOMC) will set future policy as a function of future economic conditions. Ensuring the public correctly understands this reaction function is crucial for policymakers to implement sound monetary policy (Woodford). In this article, I examine whether the policy rule perceived by forecasters has changed since the end of 2008, when the FOMC lowered its conventional policy tool, the federal funds rate, to its effective lower bound. 

Since December 2008, policymakers have used less conventional tools such as large-scale asset purchases and forward guidance about future policy actions to achieve their dual mandate of stable prices and maximum employment. Providing statements about likely future policy actions allows the FOMC to influence expectations about future interest rates even when they are constrained by the zero lower bound (Eggertsson and Woodford; Smith and Becker). Has forward guidance changed perceptions of the FOMC’s implicit policy rule? Statistical evidence suggests the forecaster-perceived policy rule remains relatively unchanged at the zero lower bound. 

Forecasters believe the FOMC responds significantly but gradually to changes in unemployment and inflation. These findings suggest the FOMC’s forward guidance is largely consistent with its behavior prior to hitting the zero lower bound. While unconventional policy may have changed some specifics of the FOMC’s communication and conduct, the reaction function forecasters perceive is similar to the pre-zero lower bound period. These results suggest forecasters do not believe the FOMC’s reaction function has changed simply because the economy hit the zero lower bound. More specifically, the statistical results suggest forecasters believe the FOMC’s desired response to economic conditions remains intact even when current short-term rates are near zero.

Policy Rules as a Description of Monetary Policy 
Policymakers consider a wide range of economic indicators when setting the appropriate path of monetary policy. For example, they may examine recent conditions in labor markets, household consumption, business investment, and changes in the overall prices of goods and services. However, determining the relevance of any single indicator in setting appropriate policy remains difficult. To reduce the complexity of responding to “everything,” policymakers often use simple rules to help guide their decisionmaking. Simple rules prescribe the stance of monetary policy as a function of a few key economic variables. Nevertheless, good policy sometimes requires flexibility and discretion, and central bankers cannot blindly follow an explicit rule (Yellen). Therefore, while the FOMC may use rules as a guide, it does not follow one explicit, publicly available policy rule. 

Nevertheless, Taylor (1993, 1999), Kahn, and many others show that a simple policy rule can reasonably describe actual central bank actions. While the exact rule varies across studies, a large body of statistical evidence suggests the FOMC has responded systematically to changes in real economic activity, labor market conditions, and the prices for goods and services. However, Clarida, Galí, and Gertler, among others, show that the simple rule that best describes monetary policy has not been constant over time. The zero lower bound period, for example, may correspond with a change in the FOMC’s implicit policy rule. The zero lower bound represents a significant constraint on policymakers, as their conventional policy tool for stabilizing the economy—the overnight federal funds rate—is no longer available as a tool for easing policy. As a result, the FOMC has had to rely on unconventional tools such as forward guidance and large-scale asset purchases. 

The Committee’s relative inexperience with these new policy tools and the zero lower bound might suggest a change in how it responded to economic conditions. To examine how professional forecasters interpreted unconventional actions during this period, I study their perceptions of the FOMC’s implicit rule. Examining forecasters’ perceived rule has two main benefits. First, professional forecasters have reputational incentives to use all available information to help predict future macroeconomic conditions and the stance of monetary policy. Thus, their forecasts about future interest rates reflect their best estimates of future FOMC behavior. Second, even when current nominal interest rates are stuck at zero, forecasts about the future stance of policy can reveal valuable information about the FOMC’s implicit rule.

Interpreting the August 2011 Period 
The statistical results suggest forecasters believed the FOMC would respond to economic conditions in the zero lower bound period in the same way they did before the lower bound became a policy constraint. However, one notable change in forward guidance during this period challenges this interpretation. Before August 2011, the FOMC’s forward guidance indicated “economic conditions … are likely to warrant exceptionally low levels of the federal funds rate for an extended period” (FOMC). One meeting later, however, the FOMC released a statement that indicating significant changes to its forward guidance regarding future rates. In its August 9, 2011 statement, the Committee replaced the “extended period” language with “at least through 2013.” After this statement, forecasters significantly revised down their expectations of future short-term rates (Chart 3). 

On the surface, this large change in guidance in the span of one meeting might have suggested a change in the FOMC’s policy rule. However, private-sector forecasts show the economic outlook deteriorated rapidly in the middle of 2011. Chart 4 plots the four-quarterahead unemployment and real GDP growth forecasts during the zero lower bound period. In the summer of 2011, forecasters significantly revised down their projections for growth and unemployment. Growth expectations fell by 0.5 percentage point, and the unemployment rate was expected to reverse its downward trend. Many of these revisions occurred after releases of labor market data that painted a more pessimistic picture of the labor market than expected.9 Despite the large change in the FOMC’s guidance, the pre-zero lower bound policy rule appears to accurately predict the change in interest rate forecasts.10 Chart 3 shows that the predicted four-quarterahead interest rate forecasts also fell sharply around August 2011. 

These results suggest that the decline in interest rate forecasts was consistent with deterioration in the economic outlook rather than a change in the FOMC’s underlying policy rule.11 The August 2011 statement and the FOMC participants’ own forecasts around that time also suggest a deteriorating macroeconomic outlook in the middle of 2011. Table 2 shows central tendencies from the Survey of Economic Projections (SEP) for FOMC participants in June and November 2011.12 The central tendencies of real GDP growth and employment fell significantly throughout the forecast period. Expectations for 2012 unemployment rose by over 0.5 percentage point from June to November 2011. The rapid change in the FOMC participants’ forecasts suggests that the change in forward guidance was consistent with a rapid change in economic conditions.

Conclusion 
Despite the FOMC’s unprecedented use of unconventional policy tools over the last few years, its implicit policy rule, as perceived by forecasters, appears to have remained relatively unchanged since hitting the zero lower bound. This suggests the Committee’s communication strategies and forward guidance over the last few years were consistent with its previous behavior. Even when current short-term policy rates were constrained by the zero lower bound, forecasters believed the FOMC would respond similarly to developments in the economy as they did before the zero lower bound constrained policy. However, a few significant caveats apply to the results and interpretation. 

The estimated policy rule does not account for the effects of large-scale asset purchases by the Federal Reserve. If these actions provided additional monetary accommodation, they are not captured by my analysis. However, Woodford and others argue that these largescale asset purchases simply reflected a signaling channel of monetary policy. Under this view, the central bank supports its forward guidance by purchasing longer-term securities. Despite this caveat, my estimation strategy helps identify the implicit policy rule forecasters believe the FOMC will follow after the economy lifts off from the zero lower bound. Forecasters could believe the FOMC has temporarily deviated from its established rule at the zero lower bound but will return to its previous rule when it begins raising interest rates. While my results cannot definitively address some of the more nuanced aspects of the FOMC’s implicit policy rule at the zero lower bound, the statistical evidence suggests that the forecasterperceived rule remains relatively constant.(论文代写)

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