Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices
Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices
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嘈杂的宏观经济公告、货币政策和资产价格
DOI：
10.3386/w12420
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
Brien Sack
中科院分区：
文献类型：
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作者：
R. Rigobón;Brien Sack
目前的文献就宏观经济数据发布对货币政策预期和资产价格的影响提供了一些重要的见解。然而，该文献的一个令人费解的方面是，估计的反应相当小。事实上，这些研究通常发现，主要的经济数据加在一起，只解释了资产价格波动的一小部分，即使是那些与近期政策预期密切相关的资产价格也是如此。在这篇文章中，我们认为，这种明显的超然在一定程度上是因为与衡量宏观经济新闻相关的困难。我们提出了两种新的计量经济学方法，使我们能够解释测量数据惊喜中的噪音。使用这些估计值，我们发现，资产价格和货币政策预期对即将到来的消息的反应比之前认为的要大得多。我们的结果也阐明了任何试图理解经济数据、货币政策和资产价格之间的相互作用的模型都应该捕捉的一组事实。
The current literature has provided a number of important insights about the effects of macroeconomic data releases on monetary policy expectations and asset prices. However, one puzzling aspect of that literature is that the estimated responses are quite small. Indeed, these studies typically find that the major economic releases, taken together, account for only a small amount of the variation in asset prices%u2014even those closely tied to near-term policy expectations. In this paper we argue that this apparent detachment arises in part from the difficulties associated with measuring macroeconomic news. We propose two new econometric approaches that allow us to account for the noise in measured data surprises. Using these estimators, we find that asset prices and monetary policy expectations are much more responsive to incoming news than previously believed. Our results also clarify the set of facts that should be captured by any model attempting to understand the interactions between economic data, monetary policy, and asset prices.