Delphic and odyssean monetary policy shocks: Evidence from the euro area

• 成果类型: Article
• 署名作者: Andrade, Philippe; Ferroni, Filippo
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.06.002
• 发表日期: 2021
• 关键词: central bank communication; yield curve; Monetary policy surprises; signaling; Forward guidance

摘要

What drives the reaction of financial markets to central bank communication on the days of policy decisions? We highlight the role of two factors that we identify from high-frequency monetary surprises: news on future macroeconomic conditions (Delphic shocks) and news on future monetary policy shocks (Odyssean shocks). These two shocks move the yield curve in the same direction but have opposite effects on financial conditions and macroeconomic expectations. They also have a different impact on macroeconomic outcomes so that central bankers cannot infer the degree of stimulus they provide by looking at the mere reaction of the yield curve. (C) 2020 Elsevier B.V. All rights reserved.