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Time variation in U.S. monetary policy and credit spreads

Journal of Macroeconomics, 2015, 43, pp205-215.

我院黄宇凡老师在宏观经济学期刊Journal of Macroeconomics上发表论文(Journal of Macroeconomics, 2015, 43,  pp205-215)。下面是论文的摘要。

Through the lens of the Taylor rule, this paper is concerned with the circumstances in which the Fed would change its behavior. A Bayesian MCMC method is proposed to deal with a switching Taylor rule robust to zero lower bound and heteroscedasticity. The posterior results from Markov-switching Taylor rule indicate that, first, there is strong evidence for an ‘‘active’’ regime in which the Fed responses to output gap aggressively. Second, the movements in the posterior probability of the active regime is highly correlated with credit spreads. I then use a switching Taylor rule with transition probabilities connected to credit spreads to show that the positive correlation is strongly supported by data, implying that the Fed responses to output gap more strongly when the credit spreads rise.

(日期:2015-09-12 作者:Huang, Yu-Fan 来源:)