Arbeitspapier
Information or Uncertainty Shocks?
This paper shows that uncertainty has an impact on the effectiveness of monetary policy shocks. As uncertainty increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This effect can be seen not only in high-frequency variables, but also in VAR models with external instruments. The results suggest that uncertainty is an alternative approach to explain the phenomena previously known as "information shock" and should therefore receive more attention in monetary policy measures.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 41-2020
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Uncertainty
High-Frequency Identifiation
Structural VAR
ECB
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baumgärtner, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, School of Business and Economics
- (wo)
-
Marburg
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Baumgärtner, Martin
- Philipps-University Marburg, School of Business and Economics
Entstanden
- 2020
Ähnliche Objekte (12)
Information or Uncertainty Shocks?
Inflationary household uncertainty shocks
Inflationary household uncertainty shocks
Financial regimes and uncertainty shocks
Uncertainty Shocks and Unemployment Dynamics
A new look at uncertainty shocks: Imperfect information and misallocation
Uncertainty shocks and financial crisis indicators
Uncertainty Shocks and Financial Crisis Indicators
Deflationary financial shocks and inflationary uncertainty shocks: An SVAR investigation
Asset pricing under uncertainty about shock propagation
The impact of uncertainty and certainty shocks
Uncertainty shocks, banking frictions and economic activity
Information or Uncertainty Shocks?
Inflationary household uncertainty shocks
Inflationary household uncertainty shocks
Financial regimes and uncertainty shocks
Uncertainty Shocks and Unemployment Dynamics
A new look at uncertainty shocks: Imperfect information and misallocation
Uncertainty shocks and financial crisis indicators
Uncertainty Shocks and Financial Crisis Indicators
Deflationary financial shocks and inflationary uncertainty shocks: An SVAR investigation
Asset pricing under uncertainty about shock propagation
The impact of uncertainty and certainty shocks
Uncertainty shocks, banking frictions and economic activity
Information or Uncertainty Shocks?
Inflationary household uncertainty shocks
Inflationary household uncertainty shocks
Financial regimes and uncertainty shocks
Uncertainty Shocks and Unemployment Dynamics
A new look at uncertainty shocks: Imperfect information and misallocation
Uncertainty shocks and financial crisis indicators
Uncertainty Shocks and Financial Crisis Indicators
Deflationary financial shocks and inflationary uncertainty shocks: An SVAR investigation
Asset pricing under uncertainty about shock propagation
The impact of uncertainty and certainty shocks