Contribution in an anthology

Appeared in: Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets

Editor list: Yoshino, Naoyuki; Chantapacdepong, Pornpinun; Helble, Matthias

Publication year: 2019

Pages: 41-65

ISBN: 978-0-19-883810-4

eISBN: 978-0-19-187462-8

DOI Link: https://doi.org/10.1093/oso/9780198838104.003.0003

URL: https://books.google.de/books?id=kjmdDwAAQBAJ&lpg=PA41&ots=JLdcdfNdWp&dq=info%3Akbb0-xu6lLQJ%3Ascholar.google.com&lr&pg=PA41#v=onepage&q&f=false

Abstract: 

It is well known that a tightening or easing of the United States’ monetary policy affects financial markets in emerging economies. This chapter argues that uncertainty about future monetary policy is a separate transmission channel. We focus on the taper tantrum episode in 2013, a period with an elevated uncertainty about monetary policy, and use a data set that contains 90,000 Twitter messages on Federal Reserve tapering. Based on this data set, we construct a new index about monetary policy uncertainty using a list of uncertainty keywords. An advantage of this index is that it reflects uncertainty about a specific policy decision. An estimated vector autoregression (VAR) shows that uncertainty shocks lead to a fall in asset prices and a depreciation of local currencies. We also discuss the policy implications of this uncertainty channel of monetary policy transmission.

Harvard Citation style: Tillmann, P. (2019) Uncertainty about Federal Reserve Policy and its Transmission to Emerging Economies: Evidence from Twitter, in Yoshino, N., Chantapacdepong, P. and Helble, M. (eds.) Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets. Oxford: Oxford University Press, pp. 41-65. https://doi.org/10.1093/oso/9780198838104.003.0003

APA Citation style: Tillmann, P. (2019). Uncertainty about Federal Reserve Policy and its Transmission to Emerging Economies: Evidence from Twitter. In Yoshino, N., Chantapacdepong, P., & Helble, M. (Eds.), Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets (pp. 41-65). Oxford University Press. https://doi.org/10.1093/oso/9780198838104.003.0003