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Estimating the Fed’s Unconventional Policy Shocks

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  • Jarociński, Marek

Abstract

Fed monetary policy announcements convey a mix of news about different conventional and unconventional policies, and about the economy. Financial market responses to these announcements are usually very small, but sometimes very large. I estimate the underlying structural shocks exploiting this feature of the data, both assuming that the structural shocks are independent and relaxing this assumption. Either approach yields the same tightly estimated shocks that can be naturally labelled as standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance. JEL Classification: E52, E58, E44

Suggested Citation

  • Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20210
    Note: 400529
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    Cited by:

    1. Jung, Alexander, 2023. "US monetary policy spillovers to European banks," Working Paper Series 2876, European Central Bank.
    2. Jetro Anttonen & Markku Lanne & Jani Luoto, 2024. "Statistically identified structural VAR model with potentially skewed and fat‐tailed errors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 422-437, April.

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    More about this item

    Keywords

    Asset purchases; Excess kurtosis; Forward guidance; High-frequency identification; Non-Gaussianity;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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