미국 통화정책의 국제전이: 뉴스와 노이즈 효과 분석을 중심으로(International Transmission of US Monetary Policy: Role of News and Noise Information)

87 Pages Posted: 30 Sep 2020

See all articles by Kyunghun Kim

Kyunghun Kim

Korea Institute for International Economic Policy

Wongi Kim

Chonnam National University

Date Written: June 30, 2019

Abstract

Expectation on future monetary policy formed based on the information affect current business cycle. Firms that determine investment projects and households that optimize life-time consumption and savings consider changes in future interest rates as well as current interest rates in their decision making. In the real economy, however, there is a mixture of noise in the information that forms the expectations for future interest rate changes. Noise information represents information that is not actually realized in the future, but believed to do so now for whatever reasons. The corresponding news information is information related to changes in monetary policy actually realized in the future. Until the monetary policy is realized, it is difficult to distinguish between two types of information. In this study, we assume that market participants are faced with the information mix of news and noise, which are used to form expectations for future monetary policy. We investigate how each type of information shock affects current business cycle. In light of the impact of US monetary policy on neighboring countries in the global financial market, we will focus on how news and noise information of the US monetary policy will affect real economic fluctuations and financial variables in neighboring countries.

Note: Downloadable document is in Korean.

Keywords: 통화정책, 금융통합

Suggested Citation

KIim, Kyunghun and Kim, Wongi, 미국 통화정책의 국제전이: 뉴스와 노이즈 효과 분석을 중심으로(International Transmission of US Monetary Policy: Role of News and Noise Information) (June 30, 2019). KIEP No. Policy Analyses 19-01, Available at SSRN: https://ssrn.com/abstract=3697115 or http://dx.doi.org/10.2139/ssrn.3697115

Kyunghun KIim (Contact Author)

Korea Institute for International Economic Policy ( email )

[30147] Building C, Sejong National Research Compl
Seoul, 370
Korea, Republic of (South Korea)

Wongi Kim

Chonnam National University ( email )

300 Yongbong-dong
Gwangju, Jeonnam
Korea, Republic of (South Korea)

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