Delphic and odyssean monetary policy shocks: Evidence from the euro area

被引：57

作者：

Andrade, Philippe ^{[1
]}

Ferroni, Filippo ^{[2
]}

机构：

[1] Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02110 USA

[2] Fed Reserve Bank Chicago, Chicago, IL USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2021年 / 117卷

关键词：

Central bank communication; Yield curve; Monetary policy surprises; Signaling; Forward guidance;

D O I：

10.1016/j.jmoneco.2020.06.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

What drives the reaction of financial markets to central bank communication on the days of policy decisions? We highlight the role of two factors that we identify from high-frequency monetary surprises: news on future macroeconomic conditions (Delphic shocks) and news on future monetary policy shocks (Odyssean shocks). These two shocks move the yield curve in the same direction but have opposite effects on financial conditions and macroeconomic expectations. They also have a different impact on macroeconomic outcomes so that central bankers cannot infer the degree of stimulus they provide by looking at the mere reaction of the yield curve. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：816 / 832

页数：17

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