Information or Uncertainty Shocks?
Martin Baumgaertner ()
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Martin Baumgaertner: THM Business School
Authors registered in the RePEc Author Service: Martin Baumgärtner ()
MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
This paper shows that uncertainty has an impact on the effectiveness of monetary policy shocks. As uncertainty increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This effect can be seen not only in high-frequency variables, but also in VAR models with external instruments. The results suggest that uncertainty is an alternative approach to explain the phenomena previously known as "information shock" and should therefore receive more attention in monetary policy measures.
Keywords: Uncertainty; High-Frequency Identication; Structural VAR; ECB (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G14 (search for similar items in EconPapers)
Pages: 38 pages
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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https://www.uni-marburg.de/en/fb02/research-groups ... 020_baumgaertner.pdf First 202041
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:202041
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