Monetary policy announcements and expectations: Evidence from german firms

• 成果类型: Article
• 署名作者: Enders, Zeno; Huennekes, Franziska; Mueller, Gernot J.
• 署名单位: Leibniz Association; Ifo Institut; Ruprecht Karls University Heidelberg; University of Munich; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW); Leibniz Association; Ifo Institut; Eberhard Karls University of Tubingen
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.011
• 发表日期: 2019
• 页码: 45-63
• 关键词: Monetary policy announcements; Firm expectations; survey data; European central bank; Information effect

摘要

We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms submit their answers to the survey. We compare the responses of firms before and after monetary policy surprises and obtain two results. First, firm expectations respond to policy surprises. Second, the response becomes weaker as the surprise becomes bigger. A contractionary surprise of moderate size reduces firm expectations, while a moderate expansionary surprise raises them. Large surprises, both negative and positive, fail to alter expectations. Consistent with this result, we find that many of the ECB's announcements of non-conventional policies did not affect expectations significantly. Overall, our results are consistent with the notion that monetary policy surprises generate an information effect which is endogenous to the size of the policy surprise. (C) 2019 Elsevier B.V. All rights reserved.