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Effects of unanticipated monetary policy shocks on monetary policy uncertainty

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  • Funashima, Yoshito

Abstract

This paper examines how unanticipated monetary policy shocks impact monetary policy uncertainty. For this, we use the narrative approach and smooth local projection method. Monetary easing shocks are found to increase monetary policy uncertainty, while monetary tightening shocks have insignificant effects on the uncertainty. Given that monetary policy uncertainty has negative effects on economic activity, our findings reveal a new adverse effect of surprising monetary easing.

Suggested Citation

  • Funashima, Yoshito, 2022. "Effects of unanticipated monetary policy shocks on monetary policy uncertainty," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003494
    DOI: 10.1016/j.frl.2021.102326
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    References listed on IDEAS

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    Cited by:

    1. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process," Working Papers hal-04159825, HAL.
    2. Blampied, Nicolás & Mahadeo, Scott Mark Romeo, 2023. "Uncertainties under monetary tightening and easing shocks and different market states," Finance Research Letters, Elsevier, vol. 55(PA).
    3. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

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    More about this item

    Keywords

    Unanticipated monetary policy shocks; Monetary policy uncertainty; Narrative approach; Smooth local projections;
    All these keywords.

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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