Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?

被引：0
作者：
Ying, Shan [1 ]
Sheen, Jeffrey [2 ]
Gu, Xin [3 ,4 ]
Wang, Ben Zhe [2 ]
机构：
[1] Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Melbourne, Vic, Australia
[2] Macquarie Univ, Macquarie Business Sch, Dept Econ, Sydney, NSW, Australia
[3] Southeast Univ, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
[4] High Qual Employment Pilot Zone Jiangsu Prov Feder, Yancheng, Peoples R China
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2025年 / 154卷
关键词：
Monetary policy uncertainty; Monetary policy surprises; Forward guidance; Bond yields; CENTRAL BANK COMMUNICATION; FEDERAL-RESERVE; TEXTUAL ANALYSIS; INFORMATION; TRANSPARENCY; DISAGREEMENT; GUIDANCE; MARKET; INFLATION; STOCK;
D O I：
10.1016/j.jimonfin.2025.103321
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
How does the FED's monetary policy uncertainty generated by Federal Open Market Committee (FOMC) communications affect the impact of monetary policy shocks on market interest rates? We measure perceived monetary policy uncertainty from changes in short-term option prices around FOMC announcements and show that it is related to measures of uncertainty communicated through policy announcements and also to how policy commitment is communicated. Monetary policy uncertainty primarily moderates the impact of forward guidance shocks on longterm government bond yields. Our results suggest this moderation process is delivered through changes in the term premium component rather than the expected component of yields.
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页数：32
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