Data for: Estimating the effects of forward guidance in rational expectations models

Abstract of associated article: Simulations of forward guidance in rational expectations models should be assessed using the “modest policy interventions” framework introduced by Eric Leeper and Tao Zha. That is, the estimated effects of a policy intervention should be considered reliable only if that intervention is unlikely to trigger a revision in private sector beliefs about the way that monetary policy will be conducted. I show how to constrain simulations of forward guidance to ensure that they are regarded as modest policy interventions and illustrate the technique using a medium-scale DSGE model estimated on US data. I find that many experiments that generate the large responses of macroeconomic variables deemed implausible by many economists – the so-called “forward guidance puzzle” – are not modest policy interventions. Those experiments should therefore be treated with caution, since they may prompt agents to believe that there has been a change in the monetary policy regime that is not accounted for within the model. More reliable results can be obtained by constraining the experiment to be a modest policy intervention. In the cases I study, the quantitative effects on macroeconomic variables are more plausible when this constraint is imposed.

相关文章摘要：在理性预期模型中对前瞻性指引的模拟应采用埃里克·李珀和陶扎提出的“适度政策干预”框架进行评估。即，只有当政策干预不太可能导致私人部门对货币政策执行方式的信念发生修订时，其估计的政策干预效果才应被视为可靠。本文展示了如何将前瞻性指引的模拟约束为适度政策干预，并利用基于美国数据的适度规模的DSGE模型对该技术进行了说明。研究发现，许多生成宏观经济变量大幅响应的实验——许多经济学家认为这些响应不切实际的所谓“前瞻性指引之谜”——并不是适度政策干预。因此，这些实验应谨慎对待，因为它们可能促使代理方相信货币政策机制发生了模型未考虑到的变化。通过将实验约束为适度政策干预，可以获得更可靠的结果。在我研究的情况下，当施加此约束时，宏观经济变量的定量影响更为合理。