Home > Research > Publications & Outputs > Forward guidance shocks

Electronic data

  • LancasterWP2022_003

    Final published version, 4.62 MB, PDF document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

View graph of relations

Forward guidance shocks

Research output: Working paper

Published
Publication date23/03/2022
Place of PublicationLancaster
PublisherLancaster University, Department of Economics
Number of pages42
<mark>Original language</mark>English

Publication series

NameEconomics Working Papers Series
Volume2022/003

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.