Market-Based Monetary Policy Uncertainty
利用FOMC公告事件研究和基于衍生品的新无模型不确定性度量，发现货币政策不确定性变化对资产价格有显著影响，且不同于传统政策冲击的效果。
Abstract Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate this using event studies of FOMC announcements and a new model-free uncertainty measure based on derivatives. Over the ‘FOMC uncertainty cycle’ announcements systematically resolve uncertainty, which then gradually ramps up again. Changes in monetary policy uncertainty around FOMC announcements—often due to forward guidance—have pronounced effects on asset prices that are distinct from the effects of conventional policy surprises. The level of uncertainty determines the magnitude of financial market reactions to surprises about the path of policy rates.