【主讲】Dun (Calvin) Jia (Renmin University of China)
【主题】A Test-based Measure of Monetary Policy Uncertainty: Evidence and Theory
【时间】2016年12月26日 (周一) 14：00-15：30
【地点】上海财经大学经济学院楼401室
【语言】英文
【摘要】This paper provides a new measure of monetary policy uncertainty through text scanning of all the FOMC statements from 1999 to 2016. Evidence suggests that the more uncertain the Fed's wording, the larger jumps in the next-year volatility of interest rate shocks. Through the expectation management, the informational noisiness contained in the pre-announced policy news injects the exogenous time-variation in the uncertainty about future interests rates among private agents. Then I build a New Keynesian model to study the volatility changes to both the unexpected (interest rate risk shocks) and the anticipated interest rate innovations (monetary policy uncertainty shocks). I find increases in both types of volatilities would knock down the aggregate demand while trigger the inflation. However, it shows that the monetary policy uncertainty shocks can be a very important driver of the business cycle fluctuations, while the effects of rate risk shocks are very limited.
