Стеблев Сергей Алексеевич
Was The Federal Reserve More Passive at The Zero Lower Bound?
Кэмпбэлл Дуглас -
Совместная программа по экономике НИУ ВШЭ и РЭШ
I attempt to understand whether the Federal Reserve became more passive after entering the period of Zero Lower Bound (ZLB) on the Federal Funds rate. I examine four different measures of the Fed's behavior, as in this period the key policy instrument was uninformative of monetary policy stance. My results show that, at the ZLB, the Fed is less prone respond to deviations in economic data from the FOMC projections. The \quotl shadow rate\quotr turns out to respond contractively to inflation and output gap in the ZLB period. Also, the dynamics of Effective Monetary Stimulus (the area between a long-run equilibrium rate of interest and an expected future path of a policy rate) are highly stable around FOMC meetings in the ZLB period, whereas, normally, the EMS is strongly affected by FOMC meetings. Finally, I propose a method to evaluate the market-expected Fed's policy relative to a benchmark future policy path and show that in the liquidity trap the Fed was unprecedentally stable in its inability to influence the market expectations of the future policy path in a way that would have been consistent with the Fed's objectives.
Текст работы (работа добавлена 14 мая 2017г.)