Professor of Economics
JOURNAL ARTICLE | Quarterly Journal of Economics | 113 | January 1998
Measuring Monetary Policy
Also INSEAD Working Paper N 1996/74/EPS/FIN
The authors develop a model-based, VAR methodology for measuring innovations in monetary policy and their macroeconomic effects. Using this framework, they are able to compare existing approaches to measuring monetary policy shocks and derive a new measure of policy innovations based directly on (possibly time-varying) estimates of the central banks operating procedures. The authors also propose a new measure of the overall stance of policy (including the endogenous or systematic component) that is consistent with their approach.