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    The effect of news shocks and monetary policy

    Gambetti, L. and Korobilis, D. and Tsoukalas, J.D. and Zanetti, F. (2017) The effect of news shocks and monetary policy. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    A VAR model estimated on U.S. data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news TFP shocks. Interest rates across the maturity spectrum broadly increase in the pre-1980s and broadly decline in the post-1980s. Corporate bond spreads decline significantly, and durable spending rises significantly in the post-1980 period while the opposite short-run response is observed in the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the Federal Reserve has adopted a restrictive stance before the 1980s with the goal of retaining control over in ation while adopting a neutral/accommodative stance in the post-1980 period.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BCAM 1705; ISSN 1745-8587
    Keyword(s) / Subject(s): News shocks, Business cycles, VAR models, DSGE models
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 21 Mar 2019 16:21
    Last Modified: 27 Jul 2019 19:02
    URI: http://eprints.bbk.ac.uk/id/eprint/26675

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