Monetary policy and interest rate uncertainty
21 Mar 2019 First, when uncertainty involves the natural rate of interest, the reaction of monetary policy to exogenous shocks should be as in the full- (3) are essentially all about (policy) interest rate uncertainty. Our analysis suggests that there exists a significant degree of uncertainty about monetary policy and measures of interest rates in our study, our focus on a financial-related account for second round effects involving the policy rate, uncertainty, and 9 Jan 2020 The Federal Reserve Board of Governors in Washington DC. inflation, nominal exchange rate growth, and past interest rates. Second, the implications of parameter uncertainty for monetary policy design are ambiguous.
Presence of data uncertainty or increased uncertainty about a monetary policy reaction function would be alternative sources of interest rate and monetary policy uncertainty. Finally, the volatility of monetary policy itself, stemming from the volatility of structural shocks such as monetary policy, supply, and demand, represents another determinant of uncertainty.
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model ingredient. A positive relation between unexpected changes in nominal interest rates and the money stock results from monetary policy uncertainty. Finally, if money growth covaries negatively with real wealth, an increase in monetary policy uncertainty increases the expected real rate of interest 2 Measuring Monetary Policy Uncertainty 2.1 Construction Our approach to constructing the MPU index is to track the frequency of newspaper articles related to monetary policy uncertainty. Using the ProQuest Newsstand and historical archives, we construct the index by searching for keywords related to monetary policy uncertainty in major newspapers. Monetary policy in times of uncertainty: a reappraisal of the Brainard principle. Giuseppe Ferrero, Mario Pietrunti, Andrea Tiseno 21 March 2019. Dealing with uncertainty about the state of the economy is one of the main challenges facing monetary policymakers.
28 Nov 2017 Abstract We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations
9 Jan 2020 The Federal Reserve Board of Governors in Washington DC. inflation, nominal exchange rate growth, and past interest rates. Second, the implications of parameter uncertainty for monetary policy design are ambiguous. stabilizing interest rate volatility, then the robustly optimal policy rule would show how the policy interest rate should be set as a function of inflation, the output If growth stays weak, interest rates We expect the uncertainty facing Monetary Policy Report - November 2019 (PDF) · Monetary Policy Report chart slides R. M. Stulz, Interest rates und monetary policy uncertainty. 333 ney growth conveys information about the true mean growth rate of the money stock.
Long-term rates and bond risk premia, however, are often objects of interest in monetary policy analysis. A famous example is a speech by Chairman Alan
1 Mar 2019 1 Financial Stability and Optimal Interest Rate Policy 283 which there is uncertainty about the transmission of monetary pol- icy, it is optimal for 24 Mar 2009 This creates considerable uncertainty in the macroeconomy. One danger of the current situation is that, because the interest rate signal
R-star, Uncertainty, and Monetary Policy. Investors’ demand for safe assets tends to increase when there’s more uncertainty, as in recessions. Consistent with this idea, short-term movements in the natural rate of interest, or r-star, are negatively correlated with an index of macroeconomic uncertainty.
A positive relation between unexpected changes in nominal interest rates and the money stock results from monetary policy uncertainty. Finally, if money growth covaries negatively with real wealth, an increase in monetary policy uncertainty increases the expected real rate of interest and decreases the nominal rate of interest. to monetary policy uncertainty is higher for currencies with larger interest rate differentials vis-a-vis` the U.S. This is due to the fact that even though a larger interest rate differential induces an exchange rate adjustment, financiers’ risk-bearing constraints all but ensure that this adjustment does not Fed policy actions have historically been preceded by high levels of uncertainty, which decline after the policy is made public. Recently, measures of near-term interest rate uncertainty have fallen to historical lows, due partly to a Fed policy rate near zero. Unconventional monetary policies have substantially lowered both expectations and uncertainty about the future path of the Fed’s policy rate. Unconventional monetary policies have substantially lowered both expectations and uncertainty about the future path of the Fed’s policy rate. Expectations about the future crucially affect today’s asset prices. For example, stock prices reflect expectations of future dividends. Long-term interest rates are influenced by expectations regarding future short-term interest rates. House prices are related to expectations for future rents. We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model ingredient.
21 Mar 2019 First, when uncertainty involves the natural rate of interest, the reaction of monetary policy to exogenous shocks should be as in the full- (3) are essentially all about (policy) interest rate uncertainty. Our analysis suggests that there exists a significant degree of uncertainty about monetary policy and measures of interest rates in our study, our focus on a financial-related account for second round effects involving the policy rate, uncertainty, and 9 Jan 2020 The Federal Reserve Board of Governors in Washington DC. inflation, nominal exchange rate growth, and past interest rates. Second, the implications of parameter uncertainty for monetary policy design are ambiguous. stabilizing interest rate volatility, then the robustly optimal policy rule would show how the policy interest rate should be set as a function of inflation, the output