The Transmission of Monetary Policy Shocks
-
Silvia Miranda-Agrippino
-
Giovanni Ricco
- American Economic Journal: Macroeconomics (Forthcoming)
Abstract
Commonly used instruments for the identification of monetary policy disturbances
are likely to combine the true policy shock with information about the state
of the economy due to the information disclosed through the policy action. We
show that this signalling effect of monetary policy can give rise to the empirical
puzzles reported in the literature, and propose a new high-frequency instrument
for monetary policy shocks that accounts for informational rigidities. We find
that a monetary tightening is unequivocally contractionary, with deterioration of
domestic demand, labor and credit market conditions, as well as of asset prices
and agents' expectations.
Forthcoming Article Downloads
