Daily monetary policy shocks and new home sales

• 成果类型: Article
• 署名作者: Hamilton, James D.
• 署名单位: University of California System; University of California San Diego
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.08.010
• 发表日期: 2008
• 页码: 1171-1190
• 关键词: Monetary policy; housing; Fed funds rate; Policy lags

摘要

The conventional notion of a monetary policy shock as a surprise change in the fed funds rate is misspecified. The primary news for market participants is not what the Fed just did, but is instead new information about the Fed's future intentions. Revisions in these anticipations show tip instantaneously in long-term mortgage rates. Home sales do not respond until much later. This paper attributes this delay-and hence Much of the hump-shaped response of economic activity to monetary policy-to cross-sectional heterogeneity in search times. This framework allows one in principle to measure policy impacts at the daily frequency. (C) 2008 Elsevier B.V. All rights reserved.