Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
使用实时数据和漂移系数的前瞻性泰勒规则，发现美联储对通胀的反应从1970年代中期较弱逐渐增强，而对实际活动的反应在1970年代显著下降。
Despite the large amount of empirical research on monetary policy rules, there is surprisingly little consensus on the nature or even the existence of changes in the conduct of monetary policy. Three issues appear central to this disagreement: 1) the specific typeofchangesinthepolicy coefficients 2) the treatment of heteroskedasticity and 3) the real-time nature of the estimation. This paper treats these issues in the context of a forward-looking Taylor rule with drifting coefficients. The estimation is based on real-time data and accounts for the presence of heteroskedasticity in the policy shock. The findings suggest important but gradual changes in the rule coefficients, not adequately captured by the usual split-sample estimation. As in Clarida, Gali and Gertler (2000), but contrary to Orphanides (2002, 2003), the Fed’s response to inflation evolved from a weak response in the mid-1970’s, not satisfying Taylor’s principle at times, to a stronger response thereafter. Moreover, as in Orphanides (2003), the Fed’s response to real activity fell substantially in the 1970’s.