全球智库信息集成服务系统(G2TT): DP10828 Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10828
	DP10828 Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach
	Gabriel Pérez-Quirós; Máximo Camacho; Danilo Leiva-León
发表日期	2015-09-20
出版年	2015
语种	英语
摘要	Previous studies have shown that the effectiveness of monetary policy depends, to a large extent, on the market expectations of its future actions. This paper proposes an econometric framework to address the effect of the current state of the economy on monetary policy expectations. Specifically, we study the effect of contractionary (or expansionary) demand (or supply) shocks hitting the euro area countries on the expectations of the ECB?s monetary policy in two stages. In the first stage, we construct indexes of real activity and inflation dynamics for each country, based on soft and hard indicators. In the second stage, we use those indexes to provide assessments on the type of aggregate shock hitting each country and assess its effect on monetary policy expectations at different horizons. Our results indicate that expectations are responsive to aggregate contractionary shocks, but not to expansionary shocks. Particularly, contractionary demand shocks have a negative effect on short term monetary policy expectations, while contractionary supply shocks have negative effect on medium and long term expectations. Moreover, shocks to different economies do not have significantly different effects on expectations, although some differences across countries arise.
主题	Monetary Economics and Fluctuations
关键词	Business cycles Inflation cycles monetary policy
URL	https://cepr.org/publications/dp10828
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539657
推荐引用方式 GB/T 7714	Gabriel Pérez-Quirós,Máximo Camacho,Danilo Leiva-León. DP10828 Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach. 2015.