货币政策
中央银行
经济
货币经济学
惊喜
利率
前向制导
向量自回归
库存(枪支)
休克(循环)
通货膨胀目标
宏观经济学
信贷渠道
心理学
工程类
内科学
机械工程
社会心理学
医学
作者
Marek Jarociński,Péter Karádi
出处
期刊:American Economic Journal: Macroeconomics
[American Economic Association]
日期:2020-03-30
卷期号:12 (2): 1-43
被引量:559
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. (JEL D83, E43, E44, E52, E58, G14)
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