Economic uncertainty and the influence of monetary policy

被引：170

作者：

Aastveit, Knut Are ^{[1
,2
]}

Natvik, Gisle James ^{[2
]}

Sola, Sergio ^{[3
]}

机构：

[1] Norges Bank, Oslo, Norway

[2] BI Norwegian Business Sch, Oslo, Norway

[3] Int Monetary Fund, Washington, DC 20431 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2017年 / 76卷

关键词：

Uncertainty; Monetary policy; Structural VAR; OUTPUT;

D O I：

10.1016/j.jimonfin.2017.05.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We use several measures of U.S. economic uncertainty, and estimate their interaction with monetary policy shocks as identified through structural vector autoregressions. We find that U.S. monetary policy shocks affect economic activity less when uncertainty is high, in line with "eal-option" effects from theory. Holding uncertainty constant, the effect on investment is approximately halved when uncertainty is in its top instead of its bottom decile. (C) 2017 Elsevier Ltd. All rights reserved.

引用

页码：50 / 67

页数：18

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