IDEAS home Printed from https://ideas.repec.org/p/cbi/wpaper/15-rt-18.html
   My bibliography  Save this paper

Monetary Policy Communication Shocks and the Macroeconomy

Author

Listed:
  • Goodhead, Robert

    (Central Bank of Ireland)

  • Kolb, Benedikt

    (Deutsche Bundesbank)

Abstract

Using federal funds futures data, we show the importance of suprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. We distinguish between monetary policy action and "communication shocks" (suprise announcements about future policy moves) by decomposing futures price movements across contract maturities. Our results indicate that it is mainly communication shocks- as opposed to actual rate-change suprises- that affect production in the ways traditionally associated with monetary policy shocks between 1994 and 2008. Covering the zero-lower bound period using Eurodollar futures, we find strong effects of long-horizon communication on inflation.

Suggested Citation

  • Goodhead, Robert & Kolb, Benedikt, 2018. "Monetary Policy Communication Shocks and the Macroeconomy," Research Technical Papers 15/RT/18, Central Bank of Ireland.
    • Handle: RePEc:cbi:wpaper:15/rt/18
    as

    Download full text from publisher

    File URL: https://www.centralbank.ie/docs/default-source/publications/research-technical-papers/15rt18-monetary-policy-communication-shocks-and-the-macroeconomy-(goodhead-and-kolb).pdf?sfvrsn=6
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ricardo J. Caballero & Alp Simsek, 2022. "Monetary Policy with Opinionated Markets," American Economic Review, American Economic Association, vol. 112(7), pages 2353-2392, July.
    2. Parle, Conor, 2022. "The financial market impact of ECB monetary policy press conferences — A text based approach," European Journal of Political Economy, Elsevier, vol. 74(C).

    More about this item

    Keywords

    Federal Funds Futures; FOMC; Monetary Policy; VAR Model;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbi:wpaper:15/rt/18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Fiona Farrelly (email available below). General contact details of provider: https://edirc.repec.org/data/cbigvie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.