Estimating the Fed’s Unconventional Policy Shocks

Marek Jarociński

Working Paper Series from European Central Bank

Abstract: Fed monetary policy announcements convey a mix of news about different conventional and unconventional policies, and about the economy. Financial market responses to these announcements are usually very small, but sometimes very large. I estimate the underlying structural shocks exploiting this feature of the data, both assuming that the structural shocks are independent and relaxing this assumption. Either approach yields the same tightly estimated shocks that can be naturally labelled as standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance. JEL Classification: E52, E58, E44

Keywords: Asset purchases; Excess kurtosis; Forward guidance; High-frequency identification; Non-Gaussianity (search for similar items in EconPapers)
Date: 2021-08
New Economics Papers: this item is included in nep-mac and nep-mon
Note: 400529
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Estimating the Fed’s unconventional policy shocks (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20210

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