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@article{ART002565283},
author={Joonyoung Hur},
title={Understanding the Effects of Unanticipated Future Monetary Policy Shocks},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2020},
volume={31},
number={1},
pages={3-52},
doi={10.23842/jif.2020.31.1.001}

TY - JOUR
AU - Joonyoung Hur
TI - Understanding the Effects of Unanticipated Future Monetary Policy Shocks
JO - Journal of Insurance and Finance
PY - 2020
VL - 31
IS - 1
PB - Korea Insurance Research Institute
SP - 3
EP - 52
SN - 2384-3209
AB - This paper studies the effects of future monetary policy shocks unanticipated by private agents using an estimated new Keynesian dynamic stochastic general equilibrium model framework. Analysis of U.S. data from 1967 Q1 to 2008 Q1 shows that the information structure on monetary policy substantially improves the model's fit to data compared to the conventional contemporaneous-shocks-only counterpart. To examine the role of agents' foresight about future monetary policy shocks, a counterfactual analysis on agents' information flows is conducted. If, throughout the sample period, agents had possessed perfect foresight about future monetary policy shocks, the business cycle fluctuations would have been milder as the volatility of key macroeconomic variables drops markedly. In addition, we find that the model-implied uncertainty about future monetary policy contains significant explanatory power for disagreement—cross-sectional dispersion of forecasts—in the Survey of Professional Forecasters.
KW - New Keynesian Model;Information Flows;News Shocks;Imperfect Information;Bayesian Estimation
DO - 10.23842/jif.2020.31.1.001
ER -

Joonyoung Hur. (2020). Understanding the Effects of Unanticipated Future Monetary Policy Shocks. Journal of Insurance and Finance, 31(1), 3-52.

Joonyoung Hur. 2020, "Understanding the Effects of Unanticipated Future Monetary Policy Shocks", Journal of Insurance and Finance, vol.31, no.1 pp.3-52. Available from: doi:10.23842/jif.2020.31.1.001

Joonyoung Hur "Understanding the Effects of Unanticipated Future Monetary Policy Shocks" Journal of Insurance and Finance 31.1 pp.3-52 (2020) : 3.

Joonyoung Hur. Understanding the Effects of Unanticipated Future Monetary Policy Shocks. 2020; 31(1), 3-52. Available from: doi:10.23842/jif.2020.31.1.001

Joonyoung Hur. "Understanding the Effects of Unanticipated Future Monetary Policy Shocks" Journal of Insurance and Finance 31, no.1 (2020) : 3-52.doi: 10.23842/jif.2020.31.1.001

Joonyoung Hur. Understanding the Effects of Unanticipated Future Monetary Policy Shocks. Journal of Insurance and Finance, 31(1), 3-52. doi: 10.23842/jif.2020.31.1.001

Joonyoung Hur. Understanding the Effects of Unanticipated Future Monetary Policy Shocks. Journal of Insurance and Finance. 2020; 31(1) 3-52. doi: 10.23842/jif.2020.31.1.001

Joonyoung Hur. Understanding the Effects of Unanticipated Future Monetary Policy Shocks. 2020; 31(1), 3-52. Available from: doi:10.23842/jif.2020.31.1.001

Joonyoung Hur. "Understanding the Effects of Unanticipated Future Monetary Policy Shocks" Journal of Insurance and Finance 31, no.1 (2020) : 3-52.doi: 10.23842/jif.2020.31.1.001