Information or Uncertainty Shocks?

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 a...

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Bibliographic Details

Published in:	MAGKS - Joint Discussion Paper Series in Economics (Band 41-2020)
Main Author:	Baumgärtner, Martin
Format:	Article
Language:	English
Published:	Philipps-Universität Marburg 2020
Subjects:	Wirtschaft High-Frequency Identification Uncertainty Structural VAR ECB Economics
Online Access:	PDF Full Text
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