Replication data for: A New Measure of Monetary Shocks: Derivation and Implications
Principal Investigator(s): View help for Principal Investigator(s) Christina D. Romer; David H. Romer
Version: View help for Version V1
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Project Citation:
Romer, Christina D., and Romer, David H. Replication data for: A New Measure of Monetary Shocks: Derivation and Implications. Nashville, TN: American Economic Association [publisher], 2004. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116025V1
Project Description
Summary:
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This paper develops a measure of U. S. monetary policy shocks for the period 1969–1996 that is relatively free of endogenous and anticipatory movements. Quantitative and narrative records are used to infer the Federal Reserve's intentions for the federal funds rate around FOMC meetings. This series is regressed on the Federal Reserve's internal forecasts to derive a measure free of systematic responses to information about future developments. Estimates using the new measure indicate that policy has large, relatively rapid, and statistically significant effects on both output and inflation. The effects are substantially stronger and quicker than those obtained using conventional indicators.
Scope of Project
JEL Classification:
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E32 Business Fluctuations; Cycles
E52 Monetary Policy
E32 Business Fluctuations; Cycles
E52 Monetary Policy
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