Macroeconomic Effects of Central Bank Communication: Evidence from the Fed
Journal title STUDI ECONOMICI
Author/s Carlo Rosa, Tim Breitenstein
Publishing Year 2010 Issue 2009/98
Language English Pages 18 P. 5-22 File size 633 KB
DOI 10.3280/STE2009-098001
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This paper employs exogenous measures of monetary policy shocks directly derived from financial market information to investigate how the economy responds to the surprise component of monetary policy decisions as opposed to central bank announcements about future movements in the policy rate. We find that the U.S. economy strongly reacts to the news shock, the difference between what the central bank announces regarding the future direction of monetary policy and what the market expects it to announce. The responses of output and prices to the unexpected component of policy decisions regarding the federal funds target rate are weak and have implausible signs.
Jel codes: E52, E58
Carlo Rosa, Tim Breitenstein, Macroeconomic Effects of Central Bank Communication: Evidence from the Fed in "STUDI ECONOMICI " 98/2009, pp 5-22, DOI: 10.3280/STE2009-098001