市场货币政策的不确定性

M. Bauer, Aeimit Lakdawala, Philippe Mueller
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引用次数: 50

摘要

未来政策利率的不确定性对货币政策向金融市场的传导起着至关重要的作用。我们使用FOMC公告的事件研究和基于衍生品的新的无模型不确定性度量来证明这一点。在“联邦公开市场委员会不确定性周期”中,公告系统地解决了不确定性,然后不确定性又逐渐上升。围绕FOMC公告的货币政策不确定性的变化——通常是由于前瞻性指引——对资产价格产生了明显的影响,这与传统政策意外的影响不同。不确定性的程度决定了金融市场对政策利率走势的意外反应程度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Market-Based Monetary Policy Uncertainty
Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate this using event studies of FOMC announcements and a new model-free uncertainty measure based on derivatives. Over the ‘FOMC uncertainty cycle’ announcements systematically resolve uncertainty, which then gradually ramps up again. Changes in monetary policy uncertainty around FOMC announcements—often due to forward guidance—have pronounced effects on asset prices that are distinct from the effects of conventional policy surprises. The level of uncertainty determines the magnitude of financial market reactions to surprises about the path of policy rates.
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