Dokument
Titel: | Information or Uncertainty Shocks? |
Autor: | Baumgärtner, Martin |
Veröffentlicht: | 2020 |
URI: | https://archiv.ub.uni-marburg.de/es/2024/0668 |
URN: | urn:nbn:de:hebis:04-es2024-06682 |
DOI: | https://doi.org/10.17192/es2024.0668 |
ISSN: | 1867-3678 |
DDC: | 330 Wirtschaft |
Publikationsdatum: | 2024-01-19 |
Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
Schlagwörter: |
---|
Structural VAR, ECB, High-Frequency Identification, Uncertainty |
Summary:
This paper shows that uncertainty has an impact on the effectiveness of
monetary policy shocks. As uncertainty increases, so does the risk that a
restrictive forward guidance shock will increase rather than decrease stock
prices. This effect can be seen not only in high-frequency variables, but also in VAR models with external instruments. The results suggest that uncertainty
is an alternative approach to explain the phenomena previously known as
"information shock" and should therefore receive more attention in monetary
policy measures.
![]() | Das Dokument ist im Internet frei zugänglich - Hinweise zu den Nutzungsrechten |