The Transmission of Monetary Policy Shocks

Silvia Miranda-Agrippino and Giovanni Ricco ()

American Economic Journal: Macroeconomics, 2021, vol. 13, issue 3, 74-107

Abstract: Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signaling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions as well as of asset prices and agents' expectations.

JEL-codes: D82 D84 E32 E43 E52 E58 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (180)

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Related works:
Working Paper: The Transmission of Monetary Policy Shocks (2018)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
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DOI: 10.1257/mac.20180124

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