Monetary policy transparency in a forward-looking market: Evidence from the United States

Kia Amir

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Monetary policy transparency in a forward-looking market: Evidence from the United States

机译：前瞻性市场中的货币政策透明度：来自美国的证据

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Because unsatisfactory measures of the monetary policy transparency were used, the existing literature found mixed empirical results for the relationship between the monetary policy transparency and risk/volatility. This paper extends the literature by using a recently developed monetary transparency index [Kia's (2011) index] which is dynamic and continuous. Furthermore, the existing literature ignores the fact that market participants can be forward looking and, therefore, not policy invariant. This study also finds that the agents in the market are not policy invariant and the more transparent the monetary policy is the less risky and volatile the money market will be. (C) 2017 Elsevier Inc. All rights reserved.

机译：由于使用了不令人满意的货币政策透明度措施，因此现有文献发现货币政策透明度与风险/波动性之间的关系存在不同的经验结果。本文使用最近开发的动态且连续的货币透明度指数[Kia's（2011）指数]扩展了文献。此外，现有文献忽略了市场参与者可能具有前瞻性，因此政策不变的事实。这项研究还发现，市场中的主体不是政策不变的，货币政策越透明，货币市场的风险和波动就越小。（C）2017 Elsevier Inc.保留所有权利。

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《The North American journal of economics and finance》 |2017年第11期|597-617|共21页
作者
Kia Amir;
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作者单位

Utah Valley Univ, Finance & Econ Dept, Orem, UT 84058 USA;

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原文格式 PDF
正文语种 eng
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关键词
Monetary policy transparency; Risk; Volatility; Money market;

机译：货币政策透明度;风险;波动性;货币市场;

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1. Spillover Effects of United States' Unconventional Monetary Policy on Korean Bond Markets: Evidence from High-Frequency Data [J] . Park Ki Young, Um Ji Yong The Developing Economies . 2016,第1期

机译：美国非常规货币政策对韩国债券市场的溢出效应：来自高频数据的证据
2. A NOTE ON TIME VARIATION IN A FORWARD-LOOKING MONETARY POLICY RULE: EVIDENCE FROM EUROPEAN COUNTRIES [J] . N. Kundan Kishor Macroeconomic dynamics . 2012,第SUPPLa3期

机译：前瞻性货币政策规则中时间变化的注释：来自欧洲国家的证据
3. Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data [J] . Alex Nikolsko-Rzhevskyy Journal of money, credit and banking . 2011,第5期

机译：实时货币政策估计：无前瞻性数据的前瞻性泰勒规则
4. A Study On The Measurement Of Transparency Of Monetary Policy [C] . Francesco Delli Priscoli . 2006

机译：货币政策透明度测度研究
5. The impact and transmission channels of monetary policy: New evidence from United States and United Kingdom time series data [D] . Galati, Ernesto B. Gabriele. 1994

机译：货币政策的影响和传导渠道：来自美国和英国时间序列数据的新证据
6. Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market [O] . Ou Sun, Zhixin Liu -1

机译：应对资产价格泡沫的货币政策措施和央行沟通的比较-来自中国股市的证据
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Monetary policy transparency in a forward-looking market: Evidence from the United States

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