Monetary policy uncertainty

We construct a new measure of uncertainty about Federal Reserve policy actions and their consequences, a monetary policy uncertainty (MPU) index. We evaluate the information content of our index and document the usefulness of our index in bridging periods of conventional and unconventional policy making. We also estimate the aggregate effects of shocks to MPU on output, credit spreads, and other variables. Finally, we investigate the transmission channels of MPU, finding that heightened MPU leads to protracted declines in firm investment through both real options and financial frictions channels. Published by Elsevier B.V.

我们构建了一种衡量美联储政策行动及其后果不确定性的新指标，即货币政策不确定性（MPU）指数。我们评估了该指数的信息含量，并证明了它在连接常规和非常规政策制定时期方面的有用性。我们还估计了货币政策不确定性冲击对产出、信贷利差和其他变量的总体影响。最后，我们研究了货币政策不确定性的传导渠道，发现货币政策不确定性上升通过实物期权和金融摩擦渠道导致企业投资长期下降。由爱思唯尔公司出版。