Monetary shock measurement and stock markets
提出基于股票市场的区制转换不可观测成分模型来估计货币冲击，保留了罕见冲击的关键特征，估计结果与Romer和Romer(2004)的冲击相当，并发现1%紧缩冲击导致工业产出长期下降2%、CPI长期下降超过1%。
Abstract The narrative approach‐based measurement of monetary shocks suggests infrequent shocks are crucial for understanding the impact of monetary policy shocks on the economy. However, the narrative approach is dependent on costly data collection process, researcher judgment, and is prone to delays due to official document release. We present a stock market‐based regime switching unobserved components model to estimate the monetary shocks while preserving the key feature of infrequent shocks. Our estimated shocks are large and comparable to Romer and Romer (2004) shocks. The impulse responses to our estimated monetary policy shocks suggest that a 1% contractionary shock leads to 2% long‐term decline in industrial production with a peak effect of 3.5% decline and more than one percent long‐term decline in CPI.