Data and Code for: A Sufficient Statistics Approach for Macro Policy
Principal Investigator(s): View help for Principal Investigator(s) Regis Barnichon, Federal Reserve Bank of San Francisco; Geert Mesters, Universitat Pompeu Fabra
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| Code | 11/13/2023 01:27:AM |
Project Citation:
Barnichon, Regis, and Mesters, Geert. Data and Code for: A Sufficient Statistics Approach for Macro Policy. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-11-14. https://doi.org/10.3886/E192424V1
Project Description
Summary:
View help for Summary
The evaluation of macroeconomic policy decisions has traditionally relied on the formulation of a specific economic model. In this work, we show that two statistics are sufficient to detect, often even correct, non-optimal policies, i.e., policies that do not minimize the loss function. The two sufficient statistics are (i) forecasts for the policy objectives conditional on the policy choice, and (ii) the impulse responses of the policy objectives to policy shocks. Both statistics can be estimated without relying on a specific structural economic model. We illustrate the method by studying US monetary policy decisions.
Scope of Project
JEL Classification:
View help for JEL Classification
C14 Semiparametric and Nonparametric Methods: General
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
E52 Monetary Policy
C14 Semiparametric and Nonparametric Methods: General
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
E52 Monetary Policy
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.