Market-Based Monetary Policy Uncertainty

• 成果类型: Article
• 署名作者: Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe
• 署名单位: University of Hamburg; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; Wake Forest University; University of Warwick
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueab086
• 发表日期: 2022
• 页码: 1290-1308
• 关键词: interest-rates; yield curve; INFORMATION; STOCK; bond; volatility; RESOLUTION; target

摘要

Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate this using event studies of FOMC announcements and a new model-free uncertainty measure based on derivatives. Over the 'FOMC uncertainty cycle' announcements systematically resolve uncertainty, which then gradually ramps up again. Changes in monetary policy uncertainty around FOMC announcements-often due to forward guidance-have pronounced effects on asset prices that are distinct from the effects of conventional policy surprises. The level of uncertainty determines the magnitude of financial market reactions to surprises about the path of policy rates.