Monetary policy news and systemic risk at the zero lower bound

Pavel Kapinos

International Journal of Finance & Economics, 2021, vol. 26, issue 4, 4932-4945

Abstract: This paper employs a recent contribution to the construction of the shadow nominal interest rate during the zero lower bound episode and Greenbook forecasts to obtain a measure of monetary policy shocks over that time period. It then identifies monetary policy news shocks as a novel measure of the forward‐looking conduct of monetary policy in the U.S. Using the data from 1987—2010, it shows that neither monetary news nor surprises affected alternative measures of systemic risk over the full sample. However, monetary news shocks announcing future reductions in interest rates were effective in lowering most (but not all) systemic risk measures during the zero lower bound period, unlike monetary surprises.

Date: 2021
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https://doi.org/10.1002/ijfe.2047

Related works:
Working Paper: Monetary Policy News and Systemic Risk at the Zero Lower Bound (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:4:p:4932-4945

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