Perceived monetary policy uncertainty

Joscha Beckmann and Robert Czudaj

Journal of International Money and Finance, 2023, vol. 130, issue C

Abstract: This paper examines whether media attention affects the macroeconomic effects of monetary policy uncertainty. We combine survey data from Consensus Economics and data on media attention from MarketPsych to distinguish between uncertainty and perceived uncertainty among the public. We assess the corresponding nonlinear effects on stock returns, the growth of industrial production, and inflation. Our results confirm that monetary policy uncertainty tends to have negative effects on production growth and stock returns. In particular for industrial production, such effects tend to be stronger in case of higher media coverage which acts as a propagation mechanism.

Keywords: Expectations; Media; Monetary policy; Survey data; Uncertainty (search for similar items in EconPapers)
JEL-codes: E43 E47 E52 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001644

DOI: 10.1016/j.jimonfin.2022.102761

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