嘈杂的货币政策公告

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-12-26 DOI:10.1002/jae.3090

Tatjana Dahlhaus, Luca Gambetti

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引用次数: 0

摘要

我们解决两个主要问题。首先，货币政策公告是否包含噪音？其次，如果是的话，政策噪音对经济的影响是什么？第一个问题的答案是肯定的。第二个问题的答案是“小”，除了联邦基金利率预期。总之，我们发现路径因子的大部分波动是由噪声驱动的。结果是使用动态旋转来识别用美国数据估计的VAR中的货币政策冲击。最后，我们表明，在我们的样本期间，有关未来紧缩的公告主要被解释为德尔菲。

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Noisy monetary policy announcements

We address two main questions. First, do monetary policy announcements contain noise? Second, if yes, what are the effects of policy noise on the economy? The answer to the first question is “yes.” The answer to the second is “small,” except on federal funds rate expectations. In sum, we find that the bulk of fluctuations in the path factor are driven by noise. The results are obtained using dynamic rotations to identify the monetary policy shock in a VAR estimated with US data. Finally, we show that announcements about future tightening are mainly interpreted as Delphic over our sample period.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.