Department of Economics
The University of Maryland
College Park, Maryland 20742
Information about this author at RePEc
NBER Working Papers and Publications
|August 2013||Semiparametric 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...