Monetary policy uncertainty

• 成果类型: Article
• 署名作者: Husted, Lucas; Rogers, John; Sun, Bo
• 署名单位: Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.07.009
• 发表日期: 2020
• 页码: 20-36
• 关键词: Monetary transmission; Uncertainty index; Firm-level investment; Textual analysis

摘要

We construct a new measure of uncertainty about Federal Reserve policy actions and their consequences, a monetary policy uncertainty (MPU) index. We evaluate the information content of our index and document the usefulness of our index in bridging periods of conventional and unconventional policy making. We also estimate the aggregate effects of shocks to MPU on output, credit spreads, and other variables. Finally, we investigate the transmission channels of MPU, finding that heightened MPU leads to protracted declines in firm investment through both real options and financial frictions channels. Published by Elsevier B.V.