00000nam 2200000za 4500 9.857569 CaOODSP 20221107155804 cr ||||||||||| 180611s2018 oncd ob f000 0 eng d CaOODSP eng eng fre n-us--- FB3-5/2018-23E-PDF Dahlhaus, Tatjana. Noisy monetary policy [electronic resource] / by Tatjana Dahlhaus and Luca Gambetti. [Ottawa] : Bank of Canada, 2018. ii, 32 p. : col. charts. Bank of Canada staff working paper, 1701-9397 ; 2018-23 "May 2018." Includes bibliographical references (p. 19-21). "We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise. We employ a non-standard vector autoregression procedure to disentangle the economic and financial effects of news and noise in US monetary policy since the mid- 1990s. Using survey- and market-based data on federal funds rate expectations, we find that the noisy signal plays a relatively important role for macroeconomic dynamics. A signal reporting news about a future policy tightening shifts policy rate expectations upwards and decreases output and prices. A sizable part of the signal is noise surrounding future monetary policy actions. The noise decreases output and prices and can explain up to 16% and 13% of their variations, respectively. Furthermore, it significantly increases the excess bond premium, the corporate spread and financial market volatility, and decreases stock prices"--Abstract, p. ii. Includes abstract in French. Monetary policy--Econometric models Securities Gambetti, Luca. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-23. (CaOODSP)9.806221 PDF 1.20 MB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-23-eng.pdf