New version of "Market-Based Monetary Policy"

We substantially revised our working paper “Market-Based Monetary Policy Uncertainty” and posted the new version online. The new version of the paper, which is coauthored with Aeimit Lakdawala and Philippe Mueller, not only includes several new results, but in addition features a simple model for the short-term interest rate with jumps around FOMC announcements, which is helpful for interpreting our empirical findings on the resolution of uncertainty and the FOMC uncertainty cycle. The updated paper is available here.

If you are interested in using our market-based measure of monetary policy uncertainty in your own work, just email me and I’ll send it to you.

I will be presenting the paper at the ASSA meetings in San Diego in January, in the session on “Financial Markets and Monetary Policy” of the Econometric Society on Saturday, January 4.

Michael D. Bauer
Financial Economist

My research areas are financial economics, monetary economics and time series econometrics.