美联储-鹰派还是鸽派美联储？联邦公开市场委员会中位参与者的时变反应函数估计（英）-2023.11-40页_2mb

Summary of the Paper

The paper estimates a time-varying reaction function for the median participant of the Federal Open Market Committee (FOMC) to gauge its monetary policy responses. Using Bayesian methods with the Federal Reserve's Summary of Economic Projections (SEP) data from 2012 to 2023, the study models the federal funds rate, inflation, and unemployment projections through a time-varying Taylor rule that accounts for the effective lower bound (ELB) on interest rates.

The results indicate that the median FOMC participant has become significantly more persistent in monetary policy since the pandemic, particularly in responding to inflation at levels twice as high as pre-pandemic estimates. The reaction function's persistence and responsiveness to inflation have increased, while its focus on output gaps has shifted. Macroeconomic factors—such as labor market conditions, inflation uncertainty, and monetary policy cycles—correlate with changes in the reaction function coefficients.

Furthermore, the study demonstrates that the model provides accurate real-time forecasts of SEP projections and shows that changes in the reaction function—such as reduced persistence or heightened inflation responsiveness—affect Treasury bond excess returns, making bonds better macroeconomic hedges during certain policy regimes.

Key Findings:

• Policy Reaction Changes: Increased persistence and stronger inflation response post-pandemic.
• Data & Methodology: Uses SEP median forecasts and Bayesian estimation to account for ELB constraints.
• Implications: Results help gauge FOMC policy direction and its impact on financial markets.

This work underscores the evolution of monetary policy transparency and its real-world effects on economic decisions.