The Transmission of Monetary Policy Shocks

Giovanni Ricco () and Silvia Miranda-Agrippino

No 13396, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labour and credit market conditions, as well as of asset prices and agents' expectations.

Keywords: Monetary policy; Local projections; Vars; Expectations; Information rigidity; Survey forecasts; External instruments (search for similar items in EconPapers)
JEL-codes: C11 C14 E52 G14 (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (94)

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Related works:
Journal Article: The Transmission of Monetary Policy Shocks (2021)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The transmission of monetary policy shocks (2017)
Working Paper: The Transmission of Monetary Policy Shocks (2017)
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