Quantifying the Federal Reserve's objectives using a structural vector autoregressive model
提出一种无联立性问题的条件估计方法，直接量化美联储的目标规则，发现其在沃尔克前后时期保持稳定，与泰勒规则估计的结论相反。
Abstract The objective of the Federal Reserve (the Fed), namely, its dovish stance, is often blamed for the so‐called Great Inflation. A popular proxy for the Fed's dovish stance is constructed using the inflation coefficients in estimated Taylor rules. However, for a welfare‐optimizing central bank, the estimated Taylor coefficients are not sufficient for inferring its underlying preference. We quantify the Fed's objective—the targeting rule—relying on a conditional estimator that is free of the classical simultaneity problem. We discover that the Fed's targeting rule remained stable during the pre‐ and post‐Volcker periods—the opposite of what is implied through a Taylor rule estimation.