Monetary policy matters: Evidence from new shocks data

Journal of Monetary Economics

Volumn 60, Issue 8, 2013, Pages 950-966

  Barakchian, S Mahdi ^a   Crowe, Christopher ^a  

^a SHARIF UNIVERSITY OF TECHNOLOGY   (Iran)

Author keywords

Fed Funds futures; FOMC; Monetary policy; VAR estimation

Indexed keywords

EID: 84888332499     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2013.09.006     Document Type: Article

References (26)

1. Bagliano F.C., Favero C.A. Measuring monetary policy with VAR models an evaluation. European Economic Review 1998, 42:1113-1140.
2. Bernanke B.S., Kuttner K.N. What explains the stock market's reaction to federal reserve policy?. Journal of Finance 2005, 60:1221-1257.
3. Bernanke B.S., Mihov I. Measuring monetary policy. Quarterly Journal of Economics 1998, 113:869-902.
4. Boivin J., Giannoni M.P. Has monetary policy become more effective?. Review of Economics and Statistics 2006, 88:445-462.
5. Castelnuovo, E., Surico, P., 2006. The Price Puzzle: Fact or Artefact? Bank of England Working Paper No. 288, Bank of England, London.
6. Christiano L.J., Eichenbaum M., Evans C.L. The effects of monetary policy shocks. evidence from the flow of funds. Review of Economics and Statistics 1996, 78:16-34.
7. Christiano L.J., Eichenbaum M., Evans C.L. Monetary policy shocks. what have we learned and to what end?. Handbook of Macroeconomics 1999, vol. 1. Elsevier B.V., Amsterdam.
8. D'Amico S., Farka M. The fed and the stock market. an identification based on intraday futures data. Journal of Business and Economic Statistics 2011, 29:126-137.
9. Faust J., Swanson E., Wright J. Identifying VARs based on high-frequency futures data. Journal of Monetary Economics 2004, 6:1107-1131.
10. Giordani P. An alternative explanation of the price puzzle. Journal of Monetary Economics 2004, 51:1271-1296.
11. Gürkaynak, R.S., 2005. Using Federal Funds Futures Contracts for Monetary Policy Analysis. Federal Reserve Board Finance and Economics Discussion Series #2005-29, Federal Reserve Board, Washington, DC.
12. Gürkaynak R.S., Sack B., Swanson E. Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking 2005, 1:55-94.
13. Hamilton J.D. Daily monetary policy shocks and new home sales. Journal of Monetary Economics 2008, 55:1171-1190.
14. Hanson M.S. The "price puzzle" reconsidered. Journal of Monetary Economics 2004, 51:1385-1413.
15. Kuttner K.N. Monetary policy surprises and interest rates. evidence from the federal funds futures market. Journal of Monetary Economics 2001, 47:523-544.
16. Orphanides A. Historical monetary policy analysis and the Taylor rule. Journal of Monetary Economics 2003, 50:983-1022.
17. Owyang M.T., Wall H.J. Regional VARs and the channels of monetary policy. Applied Economics Letters 2009, 16:1191-1194.
18. Piazzesi, M., 2010. Affine term structure models. In: Hansen, L.P., Ait-Sahalia, Y. (Eds.), Handbook of Financial Econometrics. North-Holland, Amsterdam.
19. Piazzesi M., Swanson E.T. Futures prices as risk-adjusted forecasts of monetary policy. Journal of Monetary Economics 2008, 55:677-691.
20. Romer C.D., Romer D.H. Federal reserve information and the behavior of interest rates. American Economic Review 2000, 90:429-457.
21. Romer C.D., Romer D.H. A new measure of monetary shocks. derivation and implications. American Economic Review 2004, 94:1055-1084.
22. Rudebusch G.D. Do measures of monetary policy in a VAR make sense?. International Economic Review 1998, 39:907-931.
23. Sims C.A., Zha T. Does monetary policy generate recessions?. Macroeconomic Dynamics 2006, 10:231-272.
24. Söderström U. Predicting monetary policy with Federal funds futures prices. Journal of Futures Markets 2001, 214:377-391.
25. Taylor N. The determinants of future U.S. monetary policy. high-frequency evidence. Journal of Money, Credit and Banking 2010, 42:399-420.
26. Thapar A. Using private forecasts to estimate the effects of monetary policy. Journal of Monetary Economics 2008, 55:806-824.