EconPapers    
Economics at your fingertips  
 

The effect of news shocks and monetary policy

Luca Gambetti, Dimitris Korobilis, John D. Tsoukalas and Francesco Zanetti ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: A VAR model estimated on U.S. data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news TFP shocks. Interest rates across the maturity spectrum broadly increase in the pre-1980s and broadly decline in the post-1980s. Corporate bond spreads decline significantly, and durable spending rises significantly in the post-1980 period while the opposite short-run response is observed in the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the Federal Reserve has adopted a restrictive stance before the 1980s with the goal of retaining control over inflation while adopting a neutral/accommodative stance in the post-1980 period.

Keywords: News shocks; Business cycles; VAR models; DSGE models (search for similar items in EconPapers)
JEL-codes: E20 E32 E43 E52 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2017-09-01
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 (5) Track citations by RSS feed

Downloads: (external link)
http://eprints.lse.ac.uk/86145/ Open access version. (application/pdf)

Related works:
Working Paper: The Effect of News Shocks and Monetary Policy (2019) Downloads
Working Paper: The effect of news shocks and monetary policy (2019) Downloads
Working Paper: The Effect of News Shocks and Monetary Policy (2018) Downloads
Working Paper: The Effect of News Shocks and Monetary Policy (2017) Downloads
Working Paper: The Effect of News Shocks and Monetary Policy (2017) Downloads
Working Paper: The Effect of News Shocks and Monetary Policy (2017) Downloads
Working Paper: The Effect of News Shocks and Monetary Policy (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:86145

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().

 
Page updated 2020-07-10
Handle: RePEc:ehl:lserod:86145