Jonathan Adams @jonathanjadams.com · Jul 9 Application #1: We estimate the term structures of popular EMPS in the literature. E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.
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Finding: *all shocks* are mostly news. Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock: