Showing 1 - 10 of 212
Monetary policy increasingly relies on steering market expectations about future policy. This paper identifies a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary policy becoming available today. One example of...
Persistent link: https://www.econbiz.de/10011921241
Monetary policy increasingly relies on steering market expectations about future policy. This paper identifies a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary policy becoming available today. One example of...
Persistent link: https://www.econbiz.de/10014637094
Persistent link: https://www.econbiz.de/10009011932
In this paper we analyze the extent to which peoples' changing beliefs about the timing of the exit from Quantitative Easing ("tapering") impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application. Our data set covers the entire...
Persistent link: https://www.econbiz.de/10010494862
Persistent link: https://www.econbiz.de/10011707496
We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary policy. We find that an identically-sized policy...
Persistent link: https://www.econbiz.de/10011803783
Persistent link: https://www.econbiz.de/10003876261
Persistent link: https://www.econbiz.de/10003878608
Recent research argues that model uncertainty leads the central bank to adjust interest rates stronger to exogenous disturbances than under certainty. This paper investigates whether the introduction of a cost channel of monetary transmission, whose presence is empirically supported, changes the...
Persistent link: https://www.econbiz.de/10015315072
Persistent link: https://www.econbiz.de/10013468558