美联储退出策略的时机预测

Forecast on the Timing of U.S. Monetary Policy Tightening

本文通过考察1970年之后美国历次经济周期中货币政策的收缩时机,利用数值估计,预测本次经济危机之后美联储退出策略的发生时机。我们发现:美联储对实际产出和失业率的反应时间较长,对通货膨胀、TED息差和标准普尔指数的反应时间较短;联邦基金利率的提高预计发生在2014年7月至2015年12月,贴现率的提高预计发生在2015年12月,国债和MBS的减持预计发生在2015年2月。

By reviewing the tightening time of U.S. monetary policy in the economic cycles since 1970, this paper predicts when the Fed will exit from its ultra loose monetary policy adopted after the 2007-2008 crises by estimating sample data. The conclusion is that the Fed response time to the real output and unemployment rate is longer than that to the inflation rate, TED spread and SPS00; the federal interest rate will be raised between July, 2014 and December, 2015; the discount rate will be raised in December, 2015; the reduction of treasure holdings and MBS in Fed will happen in February, 2015.