Assessing the Effects of Monetary Shocks on Macroeconomic Stars: A SMUC-IV Framework
货币冲击对宏观经济星号变量的影响:SMUC-IV 框架
This paper proposes a structural multivariate unobserved components model with external instrument (SMUC-IV) to investigate the effects of monetary policy shocks on key U.S. macroeconomic "stars"-namely, the level of potential output, the growth rate of potential output, trend inflation, and the neutral interest rate. A key feature of our approach is the use of an external instrument to identify monetary policy shocks within the multivariate unobserved components modeling…