A0219
Title: Is there an information channel of monetary policy?
Authors: Boreum Kwak - Bank of Korea (Korea, South) [presenting]
Alexander Kriwoluzky - German Institute for Economic Research (Germany)
Oliver Holtemoeller - Martin Luther University Halle-Wittenberg and Halle Institute for Economic Research (Germany)
Abstract: Three structural shocks are identified by exploiting the heteroskedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement. Studying their effects on financial variables and estimating their dynamic impact on the economy shows that two of these shocks are conventional and unconventional monetary policy shocks, respectively. The third shock leads to an increase in the stock market, industrial production, the CPI and the commodity price index. At the same time, the excess bond premium and the uncertainty index decrease, and the Dollar depreciates. It combines all the characteristics of a central bank information shock. Notably, the shock is not predictable from the news.
