Title: Monetary shocks, central bank projections and policy and macro signals
Authors: Paul Hubert - Sciences Po - OFCE (France) [presenting]
Abstract: The dependence of the effects of monetary shocks on the macroeconomic information disclosed by central banks is addressed. The aim is to investigate the individual and interacted effects of monetary shocks and shocks to the Bank of England's inflation and output projections on the term structure of UK private inflation expectations, to document private agents interpretation of central bank signals about policy and macroeconomic developments. First, inflation expectations respond negatively to monetary shocks, consistent with the usual transmission mechanism, and positively to projection shocks, suggesting evidence of macro signals. Second, the effects of monetary shocks are amplified by positive inflation projection shocks.