| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w12420
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| 来源ID | Working Paper 12420
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| Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices |
| Roberto Rigobon; Brian Sack
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| 发表日期 | 2006-08-14
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| 出版年 | 2006
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| 语种 | 英语
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| 摘要 | The current literature has provided a number of important insights about the effects of macroeconomic data releases on monetary policy expectations and asset prices. However, one puzzling aspect of that literature is that the estimated responses are quite small. Indeed, these studies typically find that the major economic releases, taken together, account for only a small amount of the variation in asset prices%u2014even those closely tied to near-term policy expectations. In this paper we argue that this apparent detachment arises in part from the difficulties associated with measuring macroeconomic news. We propose two new econometric approaches that allow us to account for the noise in measured data surprises. Using these estimators, we find that asset prices and monetary policy expectations are much more responsive to incoming news than previously believed. Our results also clarify the set of facts that should be captured by any model attempting to understand the interactions between economic data, monetary policy, and asset prices. |
| 主题 | Macroeconomics
; Money and Interest Rates
; Monetary Policy
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| URL | https://www.nber.org/papers/w12420
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570077
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推荐引用方式
GB/T 7714 |
Roberto Rigobon,Brian Sack. Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices. 2006.
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文件名：
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w12420.pdf
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格式：
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Adobe PDF
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