Data for "Is the Information Channel of Monetary Policy Alive in Emerging Markets?" by M. García-Schmidt

This is the repository for the paper "Is the Information Channel of Monetary Policy Alive in Emerging Markets?" by Mariana García-Schmidt, published in Journal of International Economics Paper Abstract: Central bank policy decisions shape the economy both by influencing market conditions and by affecting expectations. These expectations can be driven by two simultaneous shocks: monetary and information shocks. Identifying the information shock as one with a non-negative effect on expectations, this paper shows that such shocks are highly relevant in emerging markets. In particular, inflation and output forecasts tend to increase in the short run following an unexpected rise in the policy rate. This pattern can be reconciled with baseline New Keynesian models only if the policy rate gives information about shocks that generate a positive co-movement between the interest rate, inflation, and output. The findings suggest that information shocks are an important part of monetary policy surprises.本仓库为马里亚纳·加西亚-施密特（Mariana García-Schmidt）发表于《国际经济学杂志（Journal of International Economics）》的论文《新兴市场中货币政策的信息渠道是否依然有效？（Is the Information Channel of Monetary Policy Alive in Emerging Markets?）》配套的资料仓库。论文摘要：央行的政策决策既通过影响市场条件塑造经济运行，也通过改变市场预期产生作用。此类预期可由两类同步发生的冲击共同驱动：货币冲击与信息冲击。本文将信息冲击定义为对预期产生非负效应的冲击，研究表明此类冲击在新兴市场中具有显著相关性。具体而言，政策利率意外上调后，短期通胀与产出预测往往会出现上行。仅当政策利率能够传递出会引发利率、通胀与产出同向变动的冲击信息时，该观测结果才能与基准新凯恩斯（New Keynesian）模型的预测相契合。研究结果显示，信息冲击是货币政策意外的重要组成部分。