arXiv 15 Sep 2024 · Econometrics
arXiv:2409.09577 · PDF · DOI · OpenAlex · Extracted main text
We propose a structural model-free methodology to analyze two types of macroeconomic counterfactuals related to policy path deviation: hypothetical trajectory and policy intervention. Our model-free approach is built on a structural vector moving-average (SVMA) model that relies solely on the identification of policy shocks, thereby eliminating the need to specify an entire structural model. Analytical solutions are derived for the counterfactual parameters, and statistical inference for these parameter estimates is provided using the Delta method. By utilizing external instruments, we introduce a projection-based method for the identification, estimation, and inference of these parameters. This approach connects our counterfactual analysis with the Local Projection literature. A simulation-based approach with nonlinear model is provided to add in addressing Lucas' critique. The innovative model-free methodology is applied in three counterfactual studies on the U.S. monetary policy: (1) a historical scenario analysis for a hypothetical interest rate path in the post-pandemic era, (2) a future scenario analysis under either hawkish or dovish interest rate policy, and (3) an evaluation of the policy intervention effect of an oil price shock by zeroing out the systematic responses of the interest rate.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | McKay, Alisdair and Wolf, Christian K (2023) What Can Time-Series Regressions Tell Us About Policy Counterfactuals? | 1.000 | 10 | 3 | 100% |
| 2 | Bauer, Michael D and Swanson, Eric T (2023) A reassessment of monetary policy surprises and high-frequency identification | 0.874 | 7 | 2 | 100% |
| 3 | Sims, Christopher A and Zha, Tao (1995) Does monetary policy generate recessions?: Using less aggregate price data to identify monetary policy | 0.874 | 5 | 2 | 100% |
| 4 | Beraja, Martin (2023) A Semistructural Methodology for Policy Counterfactuals | 0.737 | 3 | 2 | 100% |
| 5 | Del Negro, Marco and Schorfheide, Frank (2013) DSGE model-based forecasting | 0.737 | 3 | 2 | 100% |
| 6 | Laséena, Stefan and Svenssona, Lars EO (2011) Anticipated Alternative Policy Rate Paths in Policy Simulations | 0.737 | 3 | 2 | 100% |
| 7 | Gertler, Mark and Karadi, Peter (2015) Monetary policy surprises, credit costs, and economic activity | 0.644 | 2 | 2 | 100% |
| 8 | Hamilton, James D and Herrera, Ana Maria (2004) Oil shocks and aggregate macroeconomic behavior: the role of monetary policy | 0.644 | 2 | 2 | 100% |
| 9 | Känzig, Diego R (2021) The macroeconomic effects of oil supply news: Evidence from OPEC announcements | 0.644 | 2 | 2 | 100% |
| 10 | Kilian, Lutz and Lewis, Logan T (2011) Does the Fed respond to oil price shocks? | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.