Arbeitspapier
Replication Report: Market-Based Monetary Policy Uncertainty
This report replicates and examines Bauer et al.'s (2021) paper on monetary policy transmission to financial markets. The paper introduces novel measures of monetary policy uncertainty and analyses its drivers. It also investigates the impact of uncertainty changes on interest rates and financial asset prices. We assess reproducibility, consolidate market uncertainty measures using PCA and Factor Analysis, and rigorously test the reduction of uncertainty after Federal Market Open Committee (FOMC) announcements. Our findings support the paper's claim of reduced uncertainty on meeting days. Additionally, we explore the implications of the uncertainty channel on various financial assets, such as Gold, the Swiss Franc, European stock indexes, and Bitcoin.
- Sprache
-
Englisch
- Erschienen in
-
Series: I4R Discussion Paper Series ; No. 76
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Griffa, Cristina
Oliver i Vert, Miquel
Tatlow, Benjamin
Zhong, Yaolang
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Replication (I4R)
- (wo)
-
s.l.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Griffa, Cristina
- Oliver i Vert, Miquel
- Tatlow, Benjamin
- Zhong, Yaolang
- Institute for Replication (I4R)
Entstanden
- 2023
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