Uncertainty about Federal Reserve Policy and its Transmission to Emerging Economies

Peter Tillmann
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Abstract

It is well known that a tightening or easing of the United States’ monetary policy affects financial markets in emerging economies. This chapter argues that uncertainty about future monetary policy is a separate transmission channel. We focus on the taper tantrum episode in 2013, a period with an elevated uncertainty about monetary policy, and use a data set that contains 90,000 Twitter messages on Federal Reserve tapering. Based on this data set, we construct a new index about monetary policy uncertainty using a list of uncertainty keywords. An advantage of this index is that it reflects uncertainty about a specific policy decision. An estimated vector autoregression (VAR) shows that uncertainty shocks lead to a fall in asset prices and a depreciation of local currencies. We also discuss the policy implications of this uncertainty channel of monetary policy transmission.
美联储政策的不确定性及其对新兴经济体的传导
众所周知,美国货币政策的收紧或放松会影响新兴经济体的金融市场。本章认为,未来货币政策的不确定性是一个单独的传导渠道。我们将重点放在2013年的“缩减恐慌”(taper tantrum)事件上,这是一个货币政策不确定性上升的时期,并使用了一个包含9万条有关美联储(fed)缩减规模的Twitter消息的数据集。在此数据集的基础上,我们使用不确定性关键词列表构建了一个新的货币政策不确定性指数。该指数的一个优点是,它反映了具体政策决定的不确定性。估计的向量自回归(VAR)表明,不确定性冲击导致资产价格下跌和当地货币贬值。我们还讨论了这种不确定性货币政策传导渠道的政策含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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