Unsurprising shocks: information, Premia, and the Monetary Transmission

Silvia Miranda-Agrippino

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This article studies the information content of monetary surprises, i.e. the reactions of financial markets to monetary policy announcements. We find that monetary surprises are predictable by past information, and can incorporate anticipatory effects. Surprises are decomposed into monetary policy shocks, forecast updates, and time-varying risk premia, all of which can change following the announcements. Hence, their use as identification devices is not warranted, and can have strong qualitative and quantitative implications for the estimated responses of variables to the shocks. We develop new measures for monetary policy shocks, independent of central banks’ forecasts and unpredictable by past information.

Keywords: Monetary Surprises; Identification with External Instruments; Monetary Policy; Expectations; Information Asymmetries; Event Study; Proxy SVAR. (search for similar items in EconPapers)
JEL-codes: E44 E52 G14 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2016-08-08
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (54)

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http://eprints.lse.ac.uk/86234/ Open access version. (application/pdf)

Related works:
Working Paper: Unsurprising shocks: information, premia, and the monetary transmission (2016)
Working Paper: Unsurprising Shocks: Information, Premia, and the Monetary Transmission (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:86234

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