Monetary policy shocks from the consumer perspective

• 成果类型: Article
• 署名作者: Claus, Edda; Viet Hoang Nguyen
• 署名单位: Wilfrid Laurier University; University of Melbourne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.03.012
• 发表日期: 2020
• 页码: 159-173
• 关键词: Monetary policy shocks; Heterogeneous consumers; Expectations formation; latent factor model; Nonlinear autoregressive distributed lag model

摘要

Applying a latent factor model to survey expectations data on economic conditions, unemployment, family finances, and readiness to spend reveals that, following a monetary policy shock, consumer expectations adjust in the direction predicted by standard models. Further, expectations respond asymmetrically to policy tightenings or easings, are sluggish, and are consistent with an income channel of monetary policy. Inflation expectations are at first anchored, but significantly adjust in the long run, in a way that is consistent with a Delphic effect of monetary policy. Expectations are heterogeneous according to gender, income, and housing status in systematic ways. (c) 2019 Elsevier B.V. All rights reserved.