Monetary Policy Shocks and Variance Risk Premia

2018 ◽  
Author(s):  
Asad Dossani
Keyword(s):  
Monetary Policy ◽  
Risk Premia ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Variance Risk

Is bigger more effective? shock size and the efficacy of monetary policy

2021 ◽  
pp. 1-10
Author(s):  
Toyoichiro Shirota
Keyword(s):  
Monetary Policy ◽  
Projection Method ◽  
Monetary Policy Shocks ◽  
Information Effect ◽  
Local Projection ◽  
Policy Effects ◽  
Potential Source ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

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