Monetary News in the United States and Business Cycles in Emerging Economies

Webinar session with Alejandro Vicondoa, Pontificia Universidad Católica de Chile.

Abstract:
This paper identifies anticipated (news) and unanticipated (surprise) shocks to the U.S. Fed Funds rate using Fed Funds futures contracts, and assesses their propagation to emerging economies. Anticipated shocks are identified as the expected change in the Fed Funds rate orthogonal to expected U.S. business cycle conditions while unanticipated shocks are the one- step ahead forecast error. Anticipated shocks explain around half of the narrative series of U.S. monetary policy shocks.

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