| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12765 |
| DP12765 Deconstructing Monetary Policy Surprises - The Role of Information Shocks | |
| Peter Karadi; Marek Jarociński | |
| 发表日期 | 2018-03-02 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Central bank announcements simultaneously convey information about monetary policy and the central bank's assessment of the economic outlook. This paper disentangles these two components and studies their effect on the economy using a structural vector autoregression estimated on both US and euro area data. It relies on the information inherent in high-frequency comovement of interest rates and stock prices around policy announcements: a surprise policy tightening raises interest rates and reduces stock prices, while the complementary positive central bank information shock raises both. These two shocks have intuitive and very different effects on the economy. Ignoring the central bank information shocks biases the inference on monetary policy non-neutrality. We make this point formally and offer an interpretation of the central bank information shock using a New Keynesian macroeconomic model with financial frictions. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Central bank private information Monetary policy shock High-frequency identification Structural var |
| URL | https://cepr.org/publications/dp12765 |
| 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/541574 |
| 推荐引用方式 GB/T 7714 | Peter Karadi,Marek Jarociński. DP12765 Deconstructing Monetary Policy Surprises - The Role of Information Shocks. 2018. |
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