G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17116
DP17116 A Reassessment of Monetary Policy Surprises and High-Frequency Identification
Michael Bauer; Eric T. Swanson
发表日期2022-03-17
出版年2022
语种英语
摘要High-frequency changes in interest rates around FOMC announcements are an important tool for identifying the effects of monetary policy on asset prices and the macroeconomy. However, some recent studies have questioned both the exogeneity and the relevance of these monetary policy surprises as instruments, especially for estimating the macroeconomic effects of monetary policy shocks. For example, monetary policy surprises are correlated with macroeconomic and financial data that is publicly available prior to the FOMC announcement. We address these concerns in two ways: First, we expand the set of monetary policy announcements to include speeches by the Fed Chair, which essentially doubles the number and importance of announcements in our dataset. Second, we explain the predictability of the monetary policy surprises in terms of the "Fed response to news" channel of Bauer and Swanson (2021) and account for it by orthogonalizing the surprises with respect to macroeconomic and financial data. Our subsequent reassessment of the effects of monetary policy yields two key results: First, estimates of the high-frequency effects on financial markets are largely unchanged. Second, estimates of the macroeconomic effects of monetary policy are substantially larger and more significant than what most previous empirical studies have found.
主题Monetary Economics and Fluctuations
关键词Fomc Policy rule Monetary transmission Svar External instruments
URLhttps://cepr.org/publications/dp17116
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/546092
推荐引用方式
GB/T 7714
Michael Bauer,Eric T. Swanson. DP17116 A Reassessment of Monetary Policy Surprises and High-Frequency Identification. 2022.
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