Monetary Policy Surprises and Monetary Policy Uncertainty

Posted: 6 Jun 2018 Last revised: 25 Jun 2020

See all articles by Michiel De Pooter

Michiel De Pooter

Board of Governors of the Federal Reserve System

Giovanni Favara

Federal Reserve Board

Michele Modugno

Board of Governors of the Federal Reserve System

Jason Wu

Hong Kong Monetary Authority

Date Written: 2018-05-18

Abstract

In this note we find that after a given monetary policy surprise, primary dealers--key intermediaries in interest rate markets--tend to adjust their positions in the U.S. Treasury market and their exposures to interest rates more when the prevailing level of policy uncertainty is low than when it is high.

Suggested Citation

De Pooter, Michiel and Favara, Giovanni and Modugno, Michele and Wu, Jason, Monetary Policy Surprises and Monetary Policy Uncertainty (2018-05-18). FEDS Notes No. 2018-05-18, Available at SSRN: https://ssrn.com/abstract=3187712 or http://dx.doi.org/10.17016/2380-7172.2176

Michiel De Pooter (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Giovanni Favara

Federal Reserve Board ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://www.giovannifavara.com

Michele Modugno

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Jason Wu

Hong Kong Monetary Authority ( email )

3 Garden Road, 30th Floor
Hong Kong
Hong Kong

HOME PAGE: http://https://sites.google.com/site/jasonwuresearch/

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