THE EFFECTS OF NEWS WHEN LIQUIDITY MATTERS

• 成果类型: Article
• 署名作者: Gu, Chao; Han, Han; Wright, Randall
• 署名单位: University of Missouri System; University of Missouri Columbia; Peking University; Zhejiang University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12473
• 发表日期: 2020
• 页码: 1411-1435
• 关键词: central bank communication; stock markets reaction; monetary-policy; asset prices; money; INFORMATION; expectations; volatility; disclosure; guidance

摘要

We analyze the impact of news (information shocks) in economies where liquidity matters, including those with endogenous credit limits, and those with assets serving as collateral or media of exchange. Although we also consider news about productivity and credit conditions, a leading case concerns monetary policy announcements. Real or monetary news has big effects on markets, potentially causing cyclic or boom-bust responses, even though we focus on the unique transition consistent with stationarity after shocks. In particular, policy announcements may induce instead of reduce volatility. We also discuss the implications for the inflation puzzle, forward-guidance puzzle, and other apparent anomalies.