要 旨
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This study assesses two central bank announcements about monetary policy and the
central bank’s assessment of the economic outlook. We examine whether these two
components influence macroeconomic and financial variables under the effective lower
bound (ELB) of short-term nominal interest rates in Japan. We identify two shocks:
a surprise policy tightening that raises interest rates and reduces stock prices and the
complementary positive central bank information shock that raises both. We find that
the two shocks have different effects on the Japanese economy. In fact, a contractionary
monetary policy shock decreases inflation rates, whereas a positive central bank information shock increases inflation rates. The evidence suggests that announcements
conveying the central bank’s assessment of the economic outlook play a certain role in
the transmission mechanism of monetary policy under the ELB. However, our study
shows that the two series of shocks do not induce changes in output. This suggests that
they have a limited impact on the economy.
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