Forward guidance shocks

Miescu, Mirela (2022) Forward guidance shocks. Working Paper. Lancaster University, Department of Economics, Lancaster.

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Abstract

I estimate the effects of a forward guidance (FG) shock and compare it with a traditional monetary policy (MP) shock. I find that FG shocks have smaller effects on macroeconomic aggregates than MP shocks. Structural identification is reached by a novel heteroscedascticity-based approach that exploits (i) the introduction of the forward guidance in the form of a published policy-rate path in the US in January 2012; and (ii) the zero lower bound (ZLB) constraints. My findings are consistent with the predictions of the latest theories about the FG puzzle.

Item Type:
Monograph (Working Paper)
Subjects:
ID Code:
167878
Deposited By:
Deposited On:
23 Mar 2022 14:15
Refereed?:
No
Published?:
Published
Last Modified:
21 May 2022 23:53