Deconstructing Monetary Policy Surprises-The Role of Information Shocks

• 成果类型: Article
• 署名作者: Jarocinski, Marek; Karadi, Peter
• 署名单位: European Central Bank; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180090
• 发表日期: 2020
• 页码: 1-43
• 关键词: vector autoregressions; credit spreads; interest-rates; yield curve; identification; channels; news; US

摘要

Central bank announcements simultaneously convey information about monetary policy and the central bank's assessment of the economic outlook. This paper disentangles these two components and studies their effect on the economy using a structural vector autoregression. It relies on the information inherent in high-frequency co-movement of interest rates and stock prices around policy announcements: a surprise policy tightening raises interest rates and reduces stock prices, while the complementary positive central bank information shock raises both. These two shocks have intuitive and very different effects on the economy. Ignoring the central bank information shocks biases the inference on monetary policy nonneutrality.