Replication Report: Market-Based Monetary Policy Uncertainty

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: I4R Discussion Paper Series ; No. 76

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Griffa, Cristina ; Oliver i Vert, Miquel ; Tatlow, Benjamin ; Zhong, Yaolang
• Event: Veröffentlichung
• (who): Institute for Replication (I4R)
• (where): s.l.
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/278110
• Last update: 10.03.2025, 11:41 AM CET