Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
使用贝叶斯结构VAR模型，发现美联储对股价的反应显著但偶发，主要在经济衰退和金融不稳定时期；对房价的反应仅在大衰退前几年出现，约一半反应反映了资产价格对通胀和经济活动的预测作用。
Abstract We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and stochastic volatility. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices, and stock prices. Our results indicate that the systematic component of monetary policy in the United States responded to real stock price growth significantly but episodically, mainly around recessions and periods of financial instability, and took real house price growth into account only in the years preceding the Great Recession. Around half of the estimated response captures the predictor role of asset prices for future inflation and real economic activity, while the remaining component reflects a direct response to stock prices and house prices.