Unconventional monetary policy announcements and information shocks in the U.S

Autor:	Johann Scharler, Daniel Gründler, Max Breitenlechner
Rok vydání:	2021
Předmět:	Economics and Econometrics media_common.quotation_subject Yield (finance) 05 social sciences Monetary policy Monetary economics Interest rate Shock (economics) Central bank 0502 economics and business Government bond Economics 050207 economics Stock (geology) 050205 econometrics media_common
Zdroj:	Journal of Macroeconomics. 67:103283
ISSN:	0164-0704
DOI:	10.1016/j.jmacro.2020.103283
Popis:	We study unconventional policy shocks and information shocks associated with central bank announcements in the U.S. While unconventional policy shocks capture the direct influence of announced monetary policy actions, information shocks are associated with central bank information conveyed with the announcement. To disentangle these two types of shocks, we impose sign restrictions on high frequency changes in interest rates and stock prices around announcements. We find that information shocks lead to persistent declines in the 10-year government bond yield, whereas the actual unconventional policy shock induces only small interest rate responses. We also find that expansionary output effects of unconventional monetary policy are to some extent counteracted by the information shock.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::87864c13f7bc345bc677d90e7cb067c3 https://doi.org/10.1016/j.jmacro.2020.103283 Zobrazit plný text záznamu Full Text from ScienceDirect