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The Response of Productivity to a Monetary Policy Shock

2021-07-05 来源: 51Due教员组 类别: Essay范文

今天给大家带来一篇优秀的论文  主要说的是对于货币政策的立场,扩张性货币政策冲击,对劳动生产率有着积极的影响,反映出上升因素。然而,TFP没有重要的应对冲击的办法。这篇经济essay代写范文讲述了这一问题。劳动生产率的动态和其他宏观经济变量,对货币政策冲击可以估计,对于回归(VAR)模型来说。这样的统计模型与每个变量相比,能捕捉无法解释的变化。货币政策冲击的历史从其中恢复,确定假设没有经济变量。有论文需要帮忙的亲亲可以联系我们的专属客服 微信号 Even100100 进行咨询喔~

除了联邦基金利率同时响应这种冲击,联邦基金利率的方程由两部分组成。第一个是估计货币政策规则描述,政策响应系统关键的宏观经济变量。下面的essay代写范文进行详述。

This section presents empirical evidence of the responses of labor productivity and its components to a surprise change in the stance of monetary policy. An expansionary monetary policy shock has a positive effect on labor productivity, reflecting a rise in factor use partly offset by a decline in factor inputs per hour. However, TFP has no significant response to the shock. The dynamic responses of labor productivity and other macroeconomic variables to a monetary policy shock can be estimated with a structural vector autoregression (VAR) model. Such a statistical model relates each variable to past values of all variables in the model and to an error term that captures unexplained variations. 
A history of monetary policy shocks is recovered from the error terms under the identifying assumption that no economic variable except the federal funds rate responds contemporaneously to such a shock, following Christiano, Eichenbaum, and Evans (1999). The equation for the federal funds rate in the VAR model thus consists of two parts. The first is an estimated monetary policy rule describing how policy responds systematically to key macroeconomic variables. While this first part may capture important interactions between labor productivity and the interest rate, it does not isolate labor productivity’s response to an interest rate shock. The second part of the equation is the policy shock, which captures changes in the policy stance unrelated to any changes in the macroeconomic environment. 
Therefore, the analysis focuses on the response of labor productivity to a monetary policy shock, even though the systematic portion of monetary policy contributes to shaping the response. In particular, the systematic policy reaction to weak demand conditions could engender favorable supply-side effects not captured by analyzing the responses to a policy shock.9 Both a small and large model are estimated. The small model includes real output per hour in the business sector, real output in the business sector, the personal consumption expenditure price index, and the federal funds rate. The large model replaces output per hour with its components: TFP, factor inputs per hour, and factor use.10 The lag length of the VAR is set to six quarters in the small model and two quarters in the large model, as determined by the Akaike information criterion. 
The sample covers the period from 1960:Q1 to 2007:Q4, which was the peak of the business cycle expansion prior to when the Federal Reserve embarked on its unconventional monetary policies. An expansionary monetary policy shock temporarily raises labor productivity along with output and inflation. Chart 7 displays the impulse responses to a one-standard-deviation decline in the federal funds rate.11 Because the article’s main question is whether a temporary monetary policy shock has long-lasting effects, the chart shows the responses up to 10 years (40 quarters) after the shock. As Panel A shows, labor productivity rises for about one year after the shock before returning to its prior level. 
While the confidence band initially rises above zero, the subsequent response is not significantly different from zero. Panel B shows a larger response from output, implying hours worked also rise. Panel C shows the response of inflation, which rises for about three years, though the rise is not statistically significant. Panel D shows the path of the federal funds rate, which drops contemporaneously with the shock before rising gradually for about two years.12 Labor productivity’s dynamic response is the result of the differing responses of factor inputs per hour, factor use, and TFP. Chart 8 shows how these variables respond to an expansionary monetary policy shock. Panel A—the response of TFP to the shock—is of particular interest, as it may reflect improvements in technology. However, TFP is essentially unresponsive to the monetary policy shock, suggesting policy actions have no effect on the economy’s productive capacity.
In contrast, the responses of factor inputs per hour and factor use are statistically significant but do not constitute evidence of supply-side effects. Panel B shows that factor inputs per hour decline: the increase in hours worked is large enough to offset any increases in labor quality and capital. The response returns to zero after about 20 quarters, suggesting no significant supply-side effects on labor productivity through capital deepening or higher labor quality. Panel C shows that factor use rises in response to the policy shock as the available capital and labor are employed more intensively. 
The positive, hump-shaped response of factor use mimics that of labor productivity, suggesting higher factor use is the dominant channel through which a monetary policy shock affects labor productivity. The response of labor productivity to a monetary policy shock thus reflects varying labor effort (labor hoarding) and a varying workweek of capital in response to temporary changes in demand, with no apparent supply-side effects. The dynamic responses of output, inflation, and the federal funds rate, shown in Panels C, D, and E, respectively, are similar to those reported in Chart 6, though the response of inflation is now statistically significant. Evidence from more direct indicators of innovation suggests a monetary policy shock yields persistent supply-side effects. Chart 9 shows responses to an expansionary monetary policy shock in alternative versions of the small VAR model that replace labor productivity with one of three direct indicators of innovation. 
The first version uses the log of real R&D investment with the sample period 1960:Q1 to 2007:Q4. Panel A of Chart 8 shows R&D investment persistently rises by about one-half percent in response to the policy shock, but the response is not significantly different from zero. The second version replaces labor productivity with the rate of establishment births minus deaths, which shortens the sample period to 1993:Q2 to 2007:Q4. Panel B shows this measure of firm entry and exit responds positively, indicating that a surprise increase in monetary policy accommodation raises the rate at which new establishments open and/or lowers the rate at which old ones close. The third version uses net business formation, the measure of firm entry and exit available from 1954:Q3 to 1994:Q4, which also yields a significant, positive response to the monetary policy shock (Panel C).13 Even a temporary increase in firm entry and exit can, in principle, have a longlasting effect on trend labor productivity. 
However, whether the effect is positive or negative depends on whether a higher entry rate or a lower exit rate dominates. More importantly, any such effects appear too weak to be manifest in the labor productivity data. In summary, the evidence suggests that historically, expansionary monetary policy shocks have raised labor productivity through their effect on factor use with no gains in trend labor productivity, although the response of firm entry and exit implies limited supply-side effects. However, the sample period of the analysis ended in 2007, before the Federal Reserve had lowered the federal funds rate to its effective lower bound. The next section examines the effect of monetary policy on labor productivity in the period since the last recession.
The Current Recovery 
Monetary policy has been highly accommodative in the current recovery. After the federal funds rate reached its effective lower bound, the Federal Reserve turned to unconventional monetary policy actions to provide additional accommodation. To measure the stance of policy in the current recovery, the analysis in this section replaces the effective federal funds rate with a shadow funds rate capturing the influence of unconventional policy at the zero lower bound. The results suggest unconventional monetary policies kept the level of accommodation over the course of the recovery roughly consistent with the systematic behavior of policy before the zero lower bound became a binding constraint. As a result, consistent with evidence from the pre-2008 period, monetary policy shocks had only a modest influence on labor productivity during the recovery. However, had the Federal Reserve not employed unconventional policies, the stance of monetary policy would have been tighter than its historical behavior would prescribe, leading to substantially lower labor productivity and output.
The VAR models in the previous section provide a framework to address whether monetary policy has been unusually accommodative during the current recovery and to what extent policy accommodation has prevented labor productivity from slowing further. However, measuring the stance of monetary policy over the last seven years, when the federal funds rate reached its effective lower bound and the Federal Reserve turned to large-scale asset purchases and forward guidance to provide additional accommodation, is difficult. 
Although the federal funds rate ceased to be a good measure of the policy stance when it reached its lower bound, a shadow federal funds rate provides a measure based on longer-term bond prices. This article relies on the shadow federal funds rate of Wu and Xia to estimate the effects of monetary policy in the current recovery.14 The shadow federal funds rate is equal to the effective federal funds rate until 2008:Q4 and deviates from then onward. Chart 10 shows that, after falling below zero in 2009:Q3, the shadow federal funds rate has continued to trend down, reaching -2.7 percent in 2014:Q4. 

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