Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/181573
Autoren: 
Czudaj, Robert
Beckmann, Joscha
Datum: 
2018
Reihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2018: Digitale Wirtschaft - Session: Monetary Policy II B16-V2
Zusammenfassung: 
This paper contributes to the literature by assessing expectation effects from monetary policy for the G7 economies. We consider a sample period running from 1995M1 to 2016M6 based on a panel VAR framework, which accounts for international spillovers and time-variation. Relying on a broad set of expectation data from Consensus Economics, we start by analyzing whether monetary policy has changed the degree of information rigidity after the emergence of the subprime crisis. We proceed by estimating potential effects of interest rate changes on expectations, disagreements and forecast errors. We find strong evidence for information rigidities and identify higher forecast errors by professionals after monetary policy shocks. Our results suggest that the international transmission of monetary policy shocks introduces noisy information and partly increases disagreement among forecasters.
Schlagwörter: 
Bayesian econometrics
expectations
information rigidity
monetary policy
panel VAR
JEL: 
E31
E52
Dokumentart: 
Conference Paper
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.