Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/200688 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 32-2018
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
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 a monetary news shock is a Forward Guidance announcement, where the Fed unveils its prospectively (binding) monetary policy, today. In this paper, we study the spillover effects of news shocks. We estimate the response of the euro area to an expected future policy tightening of the Fed. The U.S. news shock improves sentiment and business cycle expectations in the euro area, which is consistent with the notion of the Fed revealing favorable news by a tightening announcement. We also distinguish the news shock from a conventional U.S. policy surprise and find that they lead to diverging responses in the euro area.
Schlagwörter: 
News shock
spillovers
forward guidance
monetary policy
interest rates
expectations
JEL: 
E43
E58
F42
Dokumentart: 
Working Paper

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