Monetary policy transparency in a forward-looking market: Evidence from the United States

Amir Kia

The North American Journal of Economics and Finance, 2017, vol. 42, issue C, 597-617

Abstract: Because unsatisfactory measures of the monetary policy transparency were used, the existing literature found mixed empirical results for the relationship between the monetary policy transparency and risk/volatility. This paper extends the literature by using a recently developed monetary transparency index [Kia’s (2011) index] which is dynamic and continuous. Furthermore, the existing literature ignores the fact that market participants can be forward looking and, therefore, not policy invariant. This study also finds that the agents in the market are not policy invariant and the more transparent the monetary policy is the less risky and volatile the money market will be.

Keywords: Monetary policy transparency; Risk; Volatility; Money market (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 E58 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:42:y:2017:i:c:p:597-617

DOI: 10.1016/j.najef.2017.08.013

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