Arbeitspapier
Is there an information channel of monetary policy?
Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest rates, stock prices, industrial production, consumer prices, and commodity prices. At the same time, the excess bond premium and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of a central bank information shock.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 17/2020
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Monetary Policy
Central Banks and Their Policies
- Thema
-
central bank information shock
high-frequency identication
identication through heteroskedasticity
monetary policy
proxy SVAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Holtemöller, Oliver
Kriwoluzky, Alexander
Kwak, Boreum
- Ereignis
-
Veröffentlichung
- (wer)
-
Halle Institute for Economic Research (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2024
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Holtemöller, Oliver
- Kriwoluzky, Alexander
- Kwak, Boreum
- Halle Institute for Economic Research (IWH)
Entstanden
- 2024
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