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Perceived monetary policy uncertainty

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  • Beckmann, Joscha
  • Czudaj, Robert L.

Abstract

This paper examines whether media attention affects the macroeconomic effects of monetary policy uncertainty. We combine survey data from Consensus Economics and data on media attention from MarketPsych to distinguish between uncertainty and perceived uncertainty among the public. We assess the corresponding nonlinear effects on stock returns, the growth of industrial production, and inflation. Our results confirm that monetary policy uncertainty tends to have negative effects on production growth and stock returns. In particular for industrial production, such effects tend to be stronger in case of higher media coverage which acts as a propagation mechanism.

Suggested Citation

  • Beckmann, Joscha & Czudaj, Robert L., 2023. "Perceived monetary policy uncertainty," Journal of International Money and Finance, Elsevier, vol. 130(C).
    • Handle: RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001644
    DOI: 10.1016/j.jimonfin.2022.102761
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    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
    2. Aariya Sen & Swarn Rajan, 2024. "You are uncertain and we are at stress! How does monetary policy uncertainty affect financial stress? The case of the US and G7," International Economics and Economic Policy, Springer, vol. 21(4), pages 749-769, October.
    3. Beckmann, Joscha & Czudaj, Robert L. & Murach, Michael, 2024. "Macroeconomic Effects from Media Coverage of the China-U.S. Trade War on selected EU Countries," MPRA Paper 121751, University Library of Munich, Germany.
    4. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

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    More about this item

    Keywords

    Expectations; Media; Monetary policy; Survey data; Uncertainty;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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