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ECIN Replication Package for "Measuring the U.S. monetary noise shocks"

Principal Investigator(s):  View help for Principal Investigator(s) Yi-Hua Wu, Department of Resources Engineering, National Cheng Kung University, Taiwan; National Applied Research Laboratories, Taiwan; Ching-Chong Lai, Institute of Economics, Academia Sinica, Taiwan; Department of Economics, National Cheng Chi University, Taiwan; Institute of Economics, National Sun Yat-Sen University, Taiwan; Department of Economics, National Taipei University, Taiwan

Version:  View help for Version V1

Name File Type Size Last Modified
  Replication 06/16/2024 02:22:AM

Project Citation: 

Wu, Yi-Hua, and Lai, Ching-Chong. ECIN Replication Package for “Measuring the U.S. monetary noise shocks.” Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-06-16. https://doi.org/10.3886/E205142V1

Project Description

Summary:  View help for Summary Agents’ beliefs regarding future monetary policy changes influence their current decisions. However, these expectations may not always materialize in the future. This study shows that the monetary fundamental shocks (exogenous changes consistent with expectations) stabilize output and inflation, while the noise shocks (biased beliefs that fail to be realized in the future) increase economic fluctuations. Moreover, factors that amplify financial frictions – the spread between the capital return of entrepreneurs and the risk-free interest rate of a central bank – can increase anticipation effects associated with these two types of monetary policy shocks.

Scope of Project

Subject Terms:  View help for Subject Terms monetary policy; imperfect information; business fluctuations
JEL Classification:  View help for JEL Classification
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      E30 Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
      E52 Monetary Policy
Manuscript Number:  View help for Manuscript Number ECIN-Nov-2023-0531.R2
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1989 – 2008 (Quarterly data: 1989Q2 to 2008Q4)
Data Type(s):  View help for Data Type(s) observational data; program source code


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Published Versions

V2 [2024-08-02]

V1 [2024-06-16]

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