Monetary policy uncertainty

Husted, Lucas F.; Rogers, John H.; Sun, Bo

doi:10.1016/j.jmoneco.2019.07.009

Cited by 259 publications

(124 citation statements)

References 54 publications

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“…Other measures of monetary policy uncertainty and macroeconomic uncertainty include those developed by Jurado, Ludvigson, Ng (2015) and Husted, Rogers, and Sun (2019 Duration for each bucket reflects the midpoint of that bucket, e.g., the duration for the 0-3 bucket is 1.5 years. Since long bets for rates to go down and short bets for rates to go up are reported separately, net positions are calculated as the difference between long and short positions while gross positions are the sum of the two.…”

Section: Datamentioning

confidence: 99%

“…Jurado, Ludvigson, and Ng (2015) measure time-varying macro uncertainty from a large set of monthly (mostly) macroeconomic series Husted, Rogers, and Sun (2019). construct their monthly monetary policy index as the normalized frequency of news articles containing a combination of words related to uncertainty, monetary policy and interest rates, and the Federal Reserve.…”

mentioning

confidence: 99%

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Monetary Policy Uncertainty and Monetary Policy Surprises

Pooter

Favara

Modugno

et al. 2020

FEDS

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Monetary policy uncertainty affects the transmission of monetary policy shocks to longer-term nominal and real yields. For a given monetary policy shock, the reaction of yields is more pronounced when the level of monetary policy uncertainty is low. Primary dealers and other investors adjust their interest rate positions more when monetary policy uncertainty is low than when uncertainty is high. These portfolio adjustments likely explain the larger pass-through of a monetary policy shock to bond yields when uncertainty is low. These findings shed new light on the role that monetary policy uncertainty plays in the transmission of monetary policy to financial markets.

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Section: Datamentioning

confidence: 99%

mentioning

confidence: 99%

Monetary Policy Uncertainty and Monetary Policy Surprises

Pooter

Favara

Modugno

et al. 2020

FEDS

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“…Finally, what are the macroeconomic effects of changes in monetary policy uncertainty? Some recent studies have taken important first steps in this direction, including Husted et al (2019) and . But much work remains to be done to make full use of high-frequency, market-based uncertainty measures to identify the causal effects of changes in monetary policy uncertainty on macroeconomic variables.…”

Section: Resultsmentioning

confidence: 99%

“…A fundamentally different way to gauge the public's uncertainty about the future course of monetary policy is to measure this uncertainty from an analysis of news articles. 17 This type of news-based measurement of uncertainty was made prominent by Baker et al (2016) and has recently been applied to monetary policy by Husted et al (2019). Market-based and news-based approaches each have their respective advantages and should be viewed as complementary.…”

Section: Comparison To Other Measuresmentioning

confidence: 99%

“…A growing number of papers study the measurement of monetary policy uncertainty. Text-based approaches using newspaper articles such as Husted et al (2019) and model-based approaches using bond yield volatility such as Creal and Wu (2017) are promising but not suitable for our purpose of identifying the effects of policy announcements via event studies, as they are generally not available at sufficiently high frequency. Market-based measures, by contrast, are available at daily or higher frequencies.…”

Section: Introductionmentioning

confidence: 99%

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Market-Based Monetary Policy Uncertainty

Bauer

Lakdawala

Mueller³

2019

ERWP

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An extensive literature studies the impact of monetary policy surprises-shifts in expected policy rates-on asset prices. This paper addresses the open question of how shifts in the uncertainty about future policy rates matter for the transmission of monetary policy to financial markets. To this end, we develop a novel measure of policy uncertainty based on derivative prices that can be used in event studies. We provide evidence for an FOMC uncertainty cycle, the systematic pattern of resolution of uncertainty on FOMC announcement days followed by a gradual ramp-up over the next two weeks. Furthermore, specific monetary policy actions have differential effects on uncertainty, with the most substantial shifts due to changes in the forward guidance provided by the FOMC. Changes in uncertainty have pronounced effects on asset prices, distinct from the effects of changes in expected policy rates. Moreover, the prevailing level of uncertainty determines the effectiveness of policy surprises: When uncertainty is low, monetary policy surprises have stronger effects on asset prices.

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The information content of uncertainty indices for natural gas futures volatility forecasting

Liang

Wang

et al. 2021

Journal of Forecasting

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We investigate the information content of five uncertainty indices for the US natural gas futures volatility forecasting. Our investigation is based on the GARCH-MIDAS framework. The in-sample outcomes suggest that most of uncertainty indices have a crucial effect on natural gas futures volatility. And the out-of-sample prediction results indicate that the geopolitical risk (GPR) and equity market volatility (EMV) indices contain more useful information for natural gas futures volatility. Moreover, according to the empirical results of special periods, we observe that the EMV index exhibits superior predictive ability under the periods of postcrisis, expansions, and low volatility. Our results are confirmed by several robustness checks.

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Monetary policy uncertainty

Cited by 259 publications

References 54 publications

Monetary Policy Uncertainty and Monetary Policy Surprises

Monetary Policy Uncertainty and Monetary Policy Surprises

Market-Based Monetary Policy Uncertainty

The information content of uncertainty indices for natural gas futures volatility forecasting

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