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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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| Publié dans: | MAGKS - Joint Discussion Paper Series in Economics (Band 41-2020) |
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| Auteur principal: | |
| Format: | Article |
| Langue: | anglais |
| Publié: |
Philipps-Universität Marburg
2020
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| Sujets: | |
| Accès en ligne: | Texte intégral en PDF |
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| Résumé: | 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. |
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| Description matérielle: | 38 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0668 |