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  • LancasterWP2022_003

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Forward guidance shocks

Research output: Working paper

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Forward guidance shocks. / Miescu, Mirela.
Lancaster: Lancaster University, Department of Economics, 2022. (Economics Working Papers Series; Vol. 2022/003).

Research output: Working paper

Harvard

Miescu, M 2022 'Forward guidance shocks' Economics Working Papers Series, vol. 2022/003, Lancaster University, Department of Economics, Lancaster.

APA

Miescu, M. (2022). Forward guidance shocks. (Economics Working Papers Series; Vol. 2022/003). Lancaster University, Department of Economics.

Vancouver

Miescu M. Forward guidance shocks. Lancaster: Lancaster University, Department of Economics. 2022 Mar 23. (Economics Working Papers Series).

Author

Miescu, Mirela. / Forward guidance shocks. Lancaster : Lancaster University, Department of Economics, 2022. (Economics Working Papers Series).

Bibtex

@techreport{c3f2aa50e63e4d238bef65be58334e69,
title = "Forward guidance shocks",
abstract = "I estimate the effects of a forward guidance (FG) shock and compare it with atraditional monetary policy (MP) shock. I find that FG shocks have smaller effectson macroeconomic aggregates than MP shocks. Structural identification is reachedby 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.",
keywords = "forward guidance, Monetary policy, event study, heteroscedasticity, structural VAR",
author = "Mirela Miescu",
year = "2022",
month = mar,
day = "23",
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Forward guidance shocks

AU - Miescu, Mirela

PY - 2022/3/23

Y1 - 2022/3/23

N2 - I estimate the effects of a forward guidance (FG) shock and compare it with atraditional monetary policy (MP) shock. I find that FG shocks have smaller effectson macroeconomic aggregates than MP shocks. Structural identification is reachedby 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.

AB - I estimate the effects of a forward guidance (FG) shock and compare it with atraditional monetary policy (MP) shock. I find that FG shocks have smaller effectson macroeconomic aggregates than MP shocks. Structural identification is reachedby 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.

KW - forward guidance

KW - Monetary policy

KW - event study

KW - heteroscedasticity

KW - structural VAR

M3 - Working paper

T3 - Economics Working Papers Series

BT - Forward guidance shocks

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -