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【讲座通知】第3期“计量、金融和大数据分析workshop”

2019-10-09  

  【题目】: A Unified Measure of Fed Monetary Shocks

  【主讲人】:吴文斌,Assistant Professor, Fudan University

  【时间】:2019年10月11日(周五)10:00-11:30

  【地点】:北大经济威尼斯人网址107室

  【摘要】:We develop a US monetary policy shock series that bridges periods of conventional and unconventional policymaking and has no central bank information effect. We attribute differences between our measure and well-known alternatives to our econometric procedure, a heteroscedasticity-based partial least squares approach combined with Fama-MacBeth regressions, and our using the full maturity spectrum of interest rates. Furthermore, shocks to monetary policy in series that are devoid of (embody) the information effect display conventionally-signed (perverse) impulse responses of output and inflation, confirming an hypothesis in the literature. Our evidence is of first-order importance to central bank staff modeling of monetary policy.

  【主讲人简介】: 吴文斌,Assistant Professor, Fanhai International School of Finance (FISF) , Fudan University,PhD in Economics, 2017, University of California - San Diego (UCSD). Fields: Monetary Economics; Applied Macro and Finance; Time Series


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