NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Guido Kuersteiner

Department of Economics
Tydings Hall
The University of Maryland
College Park, Maryland 20742

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NBER Working Papers and Publications

August 2013Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
with Joshua D. Angrist, Òscar Jordà: w19355
We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need for assumptions about the process generating macroeconomic outcomes. The proposed procedure, based on propensity score weighting, easily accommodates asymmetric and nonlinear responses. Application of this estimator to the effects of monetary restraint suggest contractionary policy slows real economic activity. By contrast, the Federal Reserve's ability to stimulate real economic activity through monetary expansion appears to be much more limited. Estimates for recent financial crisis years are simi...
 
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