Decomposing the effects of monetary policy using an external instruments SVAR
研究通过外部工具变量SVAR区分联邦基金利率冲击和前瞻指引冲击对经济的影响，发现前瞻指引冲击提高长期利率却扩张产出，这一反直觉结果与美联储和公众之间的信息不对称有关。
Summary We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward guidance. We use a structural VAR identified using external instruments from futures market data. The response of output to a fed funds rate shock is found to be consistent with typical monetary VAR analyses. However, the effect of a forward guidance shock that increases long‐term interest rates has an expansionary effect on output. This counterintuitive response is shown to be tied to the asymmetric information between the Federal Reserve and the public.