| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14097 |
| DP14097 Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil | |
| Rafael Burjack; Ritong Qu; Henry Allan Timmermann | |
| 发表日期 | 2019-11-04 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We use a unique Brazilian dataset on daily survey expectations to obtain direct measures of shocks to central bank target rates and changes in economic uncertainty. Using these measures, we gauge the effect of monetary policy shocks on economic uncertainty, term premia, inflation expectations, and bond yields in Brazil. We find strong evidence that inflation uncertainty is key to transmitting monetary policy shocks to the yield curve via time-varying term premia. Finally, Fed announcements have sizeable spillover effects on the Brazilian bond market, as positive shocks to US yields significantly raise term premia in Brazil through elevated exchange rate risk. |
| 主题 | Financial Economics |
| 关键词 | Inflation uncertainty Term structure Monetary policy shocks |
| URL | https://cepr.org/publications/dp14097 |
| 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/542984 |
| 推荐引用方式 GB/T 7714 | Rafael Burjack,Ritong Qu,Henry Allan Timmermann. DP14097 Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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