Calendrier du 22 février 2023
Histoire des entreprises et de la finance
Du 22/02/2023 de 16:00 à 17:30
Salle R1.14, Campus Jourdan
VAN MENXCEL Kevin (UNIVERSITY OF OXFORD)
The Cross-Section of Corporate Bond Returns: Evidence from an Elusive Past
Macroeconomics Seminar
Du 22/02/2023 de 12:00 à 13:15
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
BARNICHON Régis (San Francisco FED)
Evaluating 150 Years of US Monetary Policy
écrit avec Geert Mesters
How can we evaluate the performance of a policy institution? An evaluation based on realized outcomes over time is flawed, since different time periods witness different economic environments and different economic or geopolitical shocks. In this work, we show that it is possible to quantitatively evaluate and rank policy performance using only two estimable statistics: (i) the impulse responses of the policy objectives to policy shocks, and (ii) the impulse responses of the same policy objectives to non-policy shocks, e.g., aggregate demand shocks, energy price shocks, productivity shocks, or war shocks. For a large class of models, the correlation between these two sets of impulse responses directly captures the performance of the policy institution: A correlation of zero indicates best performance ---the policy institution could not have reacted any better to the non-policy shocks that affected the economy---, while a correlation of one (in absolute value) indicates worst performance ---the institution could have (but did not) perfectly met its objectives by undoing the effects of the non-policy shocks---. We use our methodology to evaluate US monetary policy over the past 150 years; from the Gold standard period, the early Fed years and the Great Depression to the post World War II period and the post-Volcker regime.