Monetary policy shocks: We got news!

@inproceedings{Gomes2017MonetaryPS,
  title={Monetary policy shocks: We got news!},
  author={Sandra Gomes and Nikolay Iskrev and Caterina Mendicino},
  year={2017}
}
We assess the role of monetary policy news shocks in the context of a medium scale DSGE model estimated on US data. We estimate several versions of the model and find decisive evidence in favour of the inclusion of monetary policy news shocks over a two-quarter horizon. According to our results, monetary policy news shocks account for a non-negligible fraction of the variance of real variables, especially at shorter forecast horizons. Further, we document that the importance of monetary policy… CONTINUE READING