Effects of unanticipated monetary policy shocks on monetary policy uncertainty

Yoshito Funashima

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: This paper examines how unanticipated monetary policy shocks impact monetary policy uncertainty. For this, we use the narrative approach and smooth local projection method. Monetary easing shocks are found to increase monetary policy uncertainty, while monetary tightening shocks have insignificant effects on the uncertainty. Given that monetary policy uncertainty has negative effects on economic activity, our findings reveal a new adverse effect of surprising monetary easing.

Keywords: Unanticipated monetary policy shocks; Monetary policy uncertainty; Narrative approach; Smooth local projections (search for similar items in EconPapers)
JEL-codes: E40 E50 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003494

DOI: 10.1016/j.frl.2021.102326

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