What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters*
通过估计多国新凯恩斯动态随机一般均衡模型，对比不同商业周期滤波方法下两种货币政策冲击（利率意外上调与通胀目标漂移）的贝叶斯脉冲响应，揭示了跨国估计效果的高度不确定性。
Abstract What does a monetary policy shock do? We answer this question by estimating a new‐Keynesian monetary policy dynamic stochastic general equilibrium model for a number of economies with a variety of empirical proxies of the business cycle. The effects of two different policy shocks, an unexpected interest rate hike conditional on a constant inflation target and an unpredicted drift in the inflation target, are scrutinized. Filter‐specific Bayesian impulse responses are contrasted with those obtained by combining multiple business cycle indicators. Our results document the substantial uncertainty surrounding the estimated effects of these two policy shocks across a number of countries.