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News Shocks Spillovers: How the Euro Area Responds to Expected Fed Policy
Monetary policy increasingly relies on steering market expectations about future policy. This paper identi_es a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary policy becoming available today. One example...
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| Xuất bản năm: | MAGKS - Joint Discussion Paper Series in Economics (Band 32-2018) |
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| Những tác giả chính: | , |
| Định dạng: | Bài viết |
| Ngôn ngữ: | Tiếng Anh |
| Được phát hành: |
Philipps-Universität Marburg
2018
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| Những chủ đề: | |
| Truy cập trực tuyến: | Bài toàn văn PDF |
| Các nhãn: |
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| Tóm tắt: | Monetary policy increasingly relies on steering market expectations about
future policy. This paper identi_es a monetary policy news shock based on a
VAR model. A monetary news shock is equivalent to new information about
the Fed's future monetary policy becoming available today. One example of
a monetary news shock is a Forward Guidance announcement, where the Fed
unveils its prospectively (binding) monetary policy, today. In this paper, we
study the spillover e_ects of news shocks. We estimate the response of the euro
area to an expected future policy tightening of the Fed. The U.S. news shock
improves sentiment and business cycle expectations in the euro area, which is
consistent with the notion of the Fed revealing favorable news by a tightening
announcement. We also distinguish the news shock from a conventional U.S.
policy surprise and find that they lead to diverging responses in the euro area. |
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| Mô tả vật lý: | 37 Seiten |
| số ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0586 |