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Medientyp:
E-Artikel
Titel:
Monetary policy communication shocks and the macroeconomy
Beteiligte:
Goodhead, Robert;
Kolb, Benedikt
Erschienen:
Wiley, 2024
Erschienen in:
Economica (2024)
Sprache:
Englisch
DOI:
10.1111/ecca.12550
ISSN:
0013-0427;
1468-0335
Entstehung:
Anmerkungen:
Beschreibung:
AbstractUsing high‐frequency identification, we provide evidence that Fed communication surprises have larger macroeconomic effects than surprise actions. Three ingredients are central to show this: structurally distinguishing between Fed actions and communication, controlling for the Fed information effect, and including the surprise measures directly in a vector autoregression (VAR) system instead of using them as instruments. We also compare the macroeconomic effects of Fed communication surprises relating to varying horizons into the future. Fed communication with a two‐year horizon appears most powerful during the effective lower‐bound period, consistent with theoretical predictions regarding Fed forward guidance.