Estimating the Fed's unconventional policy shocks

• 成果类型: Article
• 署名作者: Jarocinski, Marek
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.01.001
• 发表日期: 2024
• 关键词: High-frequency identification; Non-Gaussianity; Fat tails; Forward guidance; Asset purchases

摘要

Financial market responses to Fed monetary policy announcements are often very small, but sometimes very large and the mix of news contained in these announcements varies over time. I exploit these features of the data to estimate different types of Fed policy shocks. The resulting shocks can be naturally labeled as standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance. They affect risk -free interest rates, stock prices and the dollar on impact and have delayed but pronounced effects on corporate bond spreads and breakeven inflation rates.