EconPapers    
Economics at your fingertips  
 

Monetary policy shocks: We got news!

Sandra Gomes (), Nikolay Iskrev () and Caterina Mendicino ()

Journal of Economic Dynamics and Control, 2017, vol. 74, issue C, 108-128

Abstract: We assess the role of monetary policy news shocks in the context of a medium scale DSGE model estimated on US data. We estimate several versions of the model and find decisive evidence in favour of the inclusion of monetary policy news shocks over a two-quarter horizon. According to our results, monetary policy news shocks account for a non-negligible fraction of the variance of real variables, especially at shorter forecast horizons. Further, we document that the importance of monetary policy news shocks goes beyond what was observed in recent years. The historical importance of monetary policy news shocks dates back to the 1999–2006 period when the official FOMC statements provided information about both the current policy setting and the expected future policy path. We also show that adding monetary policy news shocks to the model does not lead to identification problems.

Keywords: DSGE models; Bayesian estimation; News shocks; Local identification; Business cycles; Forward guidance (search for similar items in EconPapers)
JEL-codes: C50 E32 E44 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188916301749
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Monetary policy shocks: We got news! (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:74:y:2017:i:c:p:108-128

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-09-13
Handle: RePEc:eee:dyncon:v:74:y:2017:i:c:p:108-128