Do firm expectations respond to monetary policy announcements?

• 成果类型: Article
• 署名作者: Di Pace, Federico; Mangiante, Giacomo; Masolo, Riccardo M.
• 署名单位: Bank of England; European Central Bank; Bank of Italy; Catholic University of the Sacred Heart; Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103648
• 发表日期: 2025
• 关键词: Monetary policy announcements; Firm expectations; monetary policy shocks; survey data

摘要

This paper investigates whether UK firms' price growth expectations respond to the Bank of England (BoE) monetary policy announcements and explores the underlying mechanism. Using microdata from the UK Decision Maker Panel survey, we isolate the exogenous component of the monetary policy decisions by comparing firms' responses filed before and after BoE announcements. Guided by a model of dispersed information, our analysis suggests that firms respond to monetary policy announcements but are, overall, not as informed and sophisticated as financial market participants. Firms' price expectations respond to actual interest rate changes, as well as to bank rate changes purged from their systematic component, but not to high-frequency surprises. The left tail of their expected price change distribution is particularly sensitive to monetary policy announcements. Furthermore, we unveil significant non-linear effects, with changes in interest rates of 50 basis points being mostly responsible for revisions in expectations. This implies that the recent tightening cycle was effective in shifting firms' expectations primarily at its peak when a sequence of consecutive large rate hikes was implemented. We also show that UK news coverage of the BoE's activities increases following policy rate changes, highlighting the media's crucial role in shaping public expectations.