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The macroeconomic impact of news about policy and news about the economy in ECB announcements

Author

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  • Jarociński, Marek
  • Karadi, Peter

Abstract

Central bank announcements simultaneously convey information about monetary policy and the economic outlook. We use changes in interest rate expectations and stock prices around the time of policy announcements to disentangle the impact of news about monetary policy from that of news about the economic outlook. We find that both play a significant role in the dynamics of inflation and economic growth, and that controlling for news about the economy helps us to measure more accurately the transmission of monetary policy. JEL Classification: E32, E52, E58

Suggested Citation

  • Jarociński, Marek & Karadi, Peter, 2018. "The macroeconomic impact of news about policy and news about the economy in ECB announcements," Research Bulletin, European Central Bank, vol. 50.
  • Handle: RePEc:ecb:ecbrbu:2018:0050:
    Note: 400529
    as

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    File URL: https://www.ecb.europa.eu//pub/economic-research/resbull/2018/html/ecb.rb180921.en.html
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    References listed on IDEAS

    as
    1. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
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    More about this item

    Keywords

    Central Bank Private Information; High-Frequency Identication; Monetary Policy Shock; Structural VAR;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • 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

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