货币政策的不确定性是否缓和了政策冲击对政府债券收益率的传导？

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-03-13 DOI:10.1016/j.jimonfin.2025.103321

Shan Ying , Jeffrey Sheen , Xin Gu , Ben Zhe Wang

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引用次数: 0

摘要

联邦公开市场委员会（FOMC）沟通产生的美联储货币政策不确定性如何影响货币政策冲击对市场利率的影响？我们通过联邦公开市场委员会公告前后短期期权价格的变化来衡量感知到的货币政策不确定性，并表明它与通过政策公告传达的不确定性措施以及政策承诺的沟通方式有关。货币政策的不确定性主要缓和了前瞻性指引冲击对长期政府债券收益率的影响。我们的研究结果表明，这种调节过程是通过期限溢价成分的变化而不是收益率的预期成分来实现的。

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Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?

How does the FED’s monetary policy uncertainty generated by Federal Open Market Committee (FOMC) communications affect the impact of monetary policy shocks on market interest rates? We measure perceived monetary policy uncertainty from changes in short-term option prices around FOMC announcements and show that it is related to measures of uncertainty communicated through policy announcements and also to how policy commitment is communicated. Monetary policy uncertainty primarily moderates the impact of forward guidance shocks on long-term government bond yields. Our results suggest this moderation process is delivered through changes in the term premium component rather than the expected component of yields.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.