Document Type
Article
Publication Date
4-2024
Abstract
This paper reassesses the impact of monetary policy and central bank information shocks while accounting for the influence of economic news. We regress a set of monetary policy surprises on a measure of economic news and incorporate these new instruments into an SVAR model. Furthermore, we distinguish between the two shocks via sign restrictions on the instruments’ impulse response functions. Our findings indicate significantly stronger and more enduring economic effects for monetary policy shocks, while the economic effects of central bank information shocks are weaker, if not vanish entirely. Nevertheless, persistent financial effects prevent us from completely dismissing the existence of central bank information effects. Consequently, it is important to account for both the effects of central bank information shocks and economic news in monetary policy settings.
Copyright Statement
This is an author-produced, peer-reviewed version of this article. © 2024, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International license. The final, definitive version of this document can be found online at Economics Letters, https://doi.org/10.1016/j.econlet.2024.111634.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Publication Information
Laumer, Sebastian and Morais Santos, Italo. (2024). "The Impact of Monetary Policy Shocks: Do Not Rule Out Central Bank Information Effects or Economic News". Economics Letters, 237, 111634. https://doi.org/10.1016/j.econlet.2024.111634