Unconventional monetary policy announcements and information shocks in the U.S

Max Breitenlechner, Daniel Gründler and Johann Scharler

Journal of Macroeconomics, 2021, vol. 67, issue C

Abstract: We study unconventional policy shocks and information shocks associated with central bank announcements in the U.S. While unconventional policy shocks capture the direct influence of announced monetary policy actions, information shocks are associated with central bank information conveyed with the announcement. To disentangle these two types of shocks, we impose sign restrictions on high frequency changes in interest rates and stock prices around announcements. We find that information shocks lead to persistent declines in the 10-year government bond yield, whereas the actual unconventional policy shock induces only small interest rate responses. We also find that expansionary output effects of unconventional monetary policy are to some extent counteracted by the information shock.

Keywords: Unconventional monetary policy; Central bank information; High-frequency identification (search for similar items in EconPapers)
JEL-codes: E32 E52 E58 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:67:y:2021:i:c:s0164070420302056

DOI: 10.1016/j.jmacro.2020.103283

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