HIGH FREQUENCY IDENTIFICATION OF MONETARY NON-NEUTRALITY: THE INFORMATIN EFFECT

@inproceedings{Nakamura2016HIGHFI,
  title={HIGH FREQUENCY IDENTIFICATION OF MONETARY NON-NEUTRALITY: THE INFORMATIN EFFECT},
  author={Emi Nakamura and J{\'o}n B Steinsson},
  year={2016}
}
We present estimates of monetary non-neutrality based on evidence from high-frequency responses of real interest rates, expected inflation, and expected output growth. Our identifying assumption is that unexpected changes in interest rates in a 30-minute window surrounding scheduled Federal Reserve announcements arise from news about monetary policy. In response to an interest rate hike, nominal and real interest rates increase roughly one-for-one, several years out into the term structure… CONTINUE READING

References

Publications referenced by this paper.
SHOWING 1-10 OF 40 REFERENCES

CRUMP, AND E

  • M. ABRAHAMS, R.K.T. ADRIAN
  • MOENCH
  • 2015

Inflation and Output in New Keynesian Model a Transient Interest Rate Peg,

  • C. T. CARLSTROM, T. S. FUERST
  • PAUSTIAN
  • 2015

Uncertainty and the Signaling Channel of Monetary Policy,

  • J. TANG
  • Working Paper, Federal Reserve Bank of Boston
  • 2015
1 Excerpt

How “Unconventional” Are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices,

  • C. ROSA
  • Federal Resrve Bank of New York Staff Report No
  • 2012
1 Excerpt

Similar Papers

Loading similar papers…