The Dynamic Effects of Forward Guidance Shocks
Abstract
We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using a two-step procedure, which embeds high-frequency futures contracts in a structural vector autoregression. An exogenous extension of the zero lower bound duration increases economic activity and prices. We show that a standard model of nominal price rigidity largely replicates these empirical results. To...
Paper Details
Title
The Dynamic Effects of Forward Guidance Shocks
Published Date
Jan 1, 2016
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