The Dynamic Effects of Forward Guidance Shocks
| Autor: | Andrew Lee Smith, Brent Bundick |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Macroeconomics
Economics and Econometrics Monetary policy 05 social sciences Zero lower bound Rigidity (psychology) Forward guidance Structural vector autoregression 0502 economics and business Economics Econometrics 050207 economics Futures contract Social Sciences (miscellaneous) Standard model (cryptography) 050205 econometrics |
| Zdroj: | The Review of Economics and Statistics. 102:946-965 |
| ISSN: | 1530-9142 0034-6535 |
| DOI: | 10.1162/rest_a_00856 |
| Popis: | We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks in a vector autoregression to trace out their macroeconomic implications. Forward guidance shocks that lower expected future policy rates lead to moderate increases in economic activity and inflation. After examining forward guidance shocks in the data, we show that a standard model of nominal price rigidity can reproduce our empirical findings. To estimate our theoretical model, we generate a model-implied futures curve that closely links our model with the data. Our results suggest no disconnect between the empirical effects of forward guidance shocks around policy announcements and the predictions from a standard theoretical model. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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