Deconstructing Monetary Policy Surprises-The Role of Information Shocks

摘要

We argued that systematic central bank communication released jointly with policy announcements can bias HFI of monetary policy shocks but creates an opportunity to empirically assess the impact of central bank communication on the macroeconomy. We have separated monetary policy shocks from central bank information shocks in a structural VAR and tracked the dynamic response of key macroeconomic variables. We have found that the presence of information shocks attenuates the estimated effects of monetary policy in the standard HFI. Our estimates purged of this bias imply stronger monetary transmission with a prominent role of financial frictions. We have also found that a representative central bank information shock is similar to news about an upcoming financial demand shock that the central bank partially offsets. The economy responds significantly to this shock. Our methodology could not determine to what extent this response reflects the central bank's correct predictions materializing and to what extent it is a causal effect of the central bank communication on the economy. We hope that future research can shed light on this important question.