Monetary Policy and Asset Prices: A Markov‐Switching DSGE Approach
估计了一个马尔可夫转换DSGE模型，将股票价格纳入货币政策规则，发现美联储对股票价格的反应在1990年代泡沫期外较弱，且政策对股价的响应会加剧宏观经济波动。
Summary This paper estimates a Markov‐switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal Reserve's stance toward them. Based on the data from 1984:Q1 to 2009:Q2, I find that historical evidence of the policy reaction toward stock prices is weak except for the stock market bubble of the 1990s. A counterfactual exercise shows that the rapid growth in stock prices during that period would have been significantly higher if monetary policy had been independent of the stock market. However, unconditional macroeconomic volatility increases with the degree of policy responsiveness toward stock prices. Copyright © 2017 John Wiley & Sons, Ltd.