Template-Type: ReDIF-Paper 1.0
Author-Name: Mirela Miescu
Author-Name-First: Mirela
Author-Name-Last: Miescu
Title: Forward guidance shocks
Abstract: I estimate the effects of a forward guidance (FG) shock and compare it with a<br/>traditional monetary policy (MP) shock. I find that FG shocks have smaller effects<br/>on macroeconomic aggregates than MP shocks. Structural identification is reached<br/>by a novel heteroscedascticity-based approach that exploits (i) the introduction of the forward guidance in the form of a published policy-rate path in the US in January 2012; and (ii) the zero lower bound (ZLB) constraints. My findings are consistent with the predictions of the latest theories about the FG puzzle.
Creation-Date: 2022
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/LancasterWP2022_003.pdf
File-Format: application/pdf
Number: 352591340
Classification-JEL: E52, E32, C32
Keywords: forward guidance, Monetary policy, event study, heteroscedasticity, structural VAR
Handle: RePEc:lan:wpaper:352591340