{"title":"市场货币政策的不确定性","authors":"M. Bauer, Aeimit Lakdawala, Philippe Mueller","doi":"10.2139/ssrn.3371160","DOIUrl":null,"url":null,"abstract":"\n 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.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"50","resultStr":"{\"title\":\"Market-Based Monetary Policy Uncertainty\",\"authors\":\"M. Bauer, Aeimit Lakdawala, Philippe Mueller\",\"doi\":\"10.2139/ssrn.3371160\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n 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.\",\"PeriodicalId\":145273,\"journal\":{\"name\":\"Monetary Economics: Central Banks - Policies & Impacts eJournal\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-04-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"50\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Monetary Economics: Central Banks - Policies & Impacts eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3371160\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monetary Economics: Central Banks - Policies & Impacts eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3371160","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.