The transmission of monetary policy shocks

The objective of this study is to analyse the effects of European Central Bank’s conventional, unconventional and communication tools on macroeconomic variables in two steps: first, with a high-frequency identification, I consider the surprises of various indices immediately after a ECB announcements and find four monetary policyThe objective of this study is to analyse the effects of European Central Bank’s conventional, unconventional and communication tools on macroeconomic variables in two steps: first, with a high-frequency identification, I consider the surprises of various indices immediately after a ECB announcements and find four monetary policy factors: Target, Timing, Forward Guidance and Quantitative Easing, interpretable in a factor model as a measure of the underling monetary policy shocks. Secondly, with a monthly dataset of European macroeconomic and financial variables, I estimate a Local Projection based on the Jordà (2005) methodology to study the responses of the market to the different shocks.

The objective of this study is to analyse the effects of European Central Bank’s conventional, unconventional and communication tools on macroeconomic variables in two steps: first, with a high-frequency identification, I consider the surprises of various indices immediately after a ECB announcements and find four monetary policy factors: Target, Timing, Forward Guidance and Quantitative Easing, interpretable in a factor model as a measure of the underling monetary policy shocks. Secondly, with a monthly dataset of European macroeconomic and financial variables, I estimate a Local Projection based on the Jordà (2005) methodology to study the responses of the market to the different shocks.