The Transmission of Monetary Policy Shocks

• 成果类型: Article
• 署名作者: Miranda-Agrippino, Silvia; Ricco, Giovanni
• 署名单位: Bank of England; Centre for Economic Policy Research - UK; University of Warwick
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180124
• 发表日期: 2021
• 页码: 74-107
• 关键词: federal-reserve; credit spreads; sticky prices; INFORMATION; forecasts; identification; DISAGREEMENT; surprises; COSTS; US

摘要

Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signaling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new-high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions as well as of asset prices and agents' expectations.