Estimating Fed's unconventional policy shocks

Arbeitspapier

Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks exploiting this feature of the data. I find standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance, and estimate their effects.

Object Details

• ISBN: 978-92-899-4808-1
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2585

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Financial Markets and the Macroeconomy
• Subject: High-frequency identification ; Non-Gaussianity ; Excess kurtosis ; Forward guidance ; Asset purchases

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jarociński, Marek
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2021

Further information

• DOI: doi:10.2866/479203
• Handle: http://hdl.handle.net/10419/246162
• Last update: 10.03.2025, 11:42 AM CET