BOK Working Paper No.2024-8,  Is there an information channel of monetary policy? | (상세) |  Bank of Korea
Central bank: bok | Type: statement | Date: 2024-07-19

BOK Working Paper No.2024-8, Is there an information channel of monetary policy?
2024.07.19
Information Channel
Monetary Policy
Boreum Kwak, Oliver Holtemöller, Alexander Kriwoluzky
Financial & Monetary Economic Studies Team(02-759-5447)
Attachment
BOK Working Paper No.2024-8.pdf
 
Exploiting the heteroskedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock, and the second resembles an unconventional monetary shock. Both shocks elicit responses in macro and financial variables that are consistent with textbook predictions. The third shock, however, leads to an increase in interest rates, stock prices, industrial production, consumer prices, and commodity prices. At the same time, the excess bond premium and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of a central bank information shock.