Identifying Monetary Policy Shocks via Changes in Volatility
提出利用冲击波动率的变化来识别货币政策冲击，基于美国1965-1996年月度数据检验不同理论，发现非借入储备冲击模型被强烈拒绝，而美联储适应总储备需求冲击的假设未被拒绝。
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to fully identify monetary policy shocks. In fact, to compare different theories it would even be desirable to have over‐identifying restrictions that would make statistical tests of different theories possible. It is pointed out that some progress toward over‐identifying monetary policy shocks can be made by using specific data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification. Based on monthly U.S. data from 1965 to 1996 different theories are tested and it is found that associating monetary policy shocks with shocks to nonborrowed reserves leads to a particularly strong rejection of the model whereas assuming that the Fed accommodates demand shocks to total reserves cannot be rejected.