Monetary policy news and systemic risk at the zero lower bound
本文利用影子名义利率和格林簿预测构建货币政策冲击，发现货币政策新闻在零利率下限时期能降低系统性风险，而货币政策意外则无效。
Abstract This paper employs a recent contribution to the construction of the shadow nominal interest rate during the zero lower bound episode and Greenbook forecasts to obtain a measure of monetary policy shocks over that time period. It then identifies monetary policy news shocks as a novel measure of the forward‐looking conduct of monetary policy in the U.S. Using the data from 1987—2010, it shows that neither monetary news nor surprises affected alternative measures of systemic risk over the full sample. However, monetary news shocks announcing future reductions in interest rates were effective in lowering most (but not all) systemic risk measures during the zero lower bound period, unlike monetary surprises.