The macroeconomic impact of news about policy and news about the economy in ECB announcements

Marek Jarociński and Peter Karadi

Research Bulletin, 2018, vol. 50

Abstract: Central bank announcements simultaneously convey information about monetary policy and the economic outlook. We use changes in interest rate expectations and stock prices around the time of policy announcements to disentangle the impact of news about monetary policy from that of news about the economic outlook. We find that both play a significant role in the dynamics of inflation and economic growth, and that controlling for news about the economy helps us to measure more accurately the transmission of monetary policy. JEL Classification: E32, E52, E58

Keywords: Central Bank Private Information; High-Frequency Identication; Monetary Policy Shock; Structural VAR (search for similar items in EconPapers)
Date: 2018-09
Note: 400529
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Citations: View citations in EconPapers (2)

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