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Autoren: 
Baumgärtner, Martin
Datum: 
2020
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 41-2020
Zusammenfassung: 
This paper shows that uncertainty has an impact on the effectiveness of monetary policy shocks. As uncertainty increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This effect can be seen not only in high-frequency variables, but also in VAR models with external instruments. The results suggest that uncertainty is an alternative approach to explain the phenomena previously known as "information shock" and should therefore receive more attention in monetary policy measures.
Schlagwörter: 
Uncertainty
High-Frequency Identifiation
Structural VAR
ECB
JEL: 
E44
E52
E58
G14
Dokumentart: 
Working Paper

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