中文摘要
中央银行的政策决策既通过影响市场状况、又通过影响预期来塑造经济。这些预期可能由两种同时发生的冲击所驱动:货币冲击与信息冲击。本文将信息冲击识别为对预期具有非负效应的冲击,并表明此类冲击在新兴市场中非常重要。具体而言,政策利率意外上升之后,通胀与产出预测往往会在短期内上升。只有当政策利率提供了关于那些使利率、通胀与产出之间产生正向同向变动的冲击的信息时,这一模式才能与基准新凯恩斯模型相吻合。研究结果表明,信息冲击是货币政策意外的重要组成部分。
Abstract
Central bank policy decisions shape the economy both by influencing market conditions and by affecting expectations. These expectations can be driven by two simultaneous shocks: monetary and information shocks. Identifying the information shock as one with a non-negative effect on expectations, this paper shows that such shocks are highly relevant in emerging markets. In particular, inflation and output forecasts tend to increase in the short run following an unexpected rise in the policy rate. This pattern can be reconciled with baseline New Keynesian models only if the policy rate gives information about shocks that generate a positive co-movement between the interest rate, inflation, and output. The findings suggest that information shocks are an important part of monetary policy surprises.