Monetary Policy Risk: Rules versus Discretion
通过宏观期限结构模型识别自由裁量货币政策与规则，发现自由裁量是总体风险的重要来源，且其宽松伴随短期利好但长期风险溢价上升。
Abstract Long-run asset pricing restrictions in a macro term structure model identify discretionary monetary policy separately from a policy rule. We find that policy discretion is an important contributor to aggregate risk. In addition, discretionary easing coincides with good news about the macroeconomy in the form of lower inflation, higher output growth, and lower risk premiums on short-term nominal bonds. However, it also coincides with bad news about long-term financial conditions in the form of higher risk premiums on long-term nominal bonds. Shocks to the rule correlate with changes in the yield curve’s level. Shocks to discretion correlate with changes in its slope.