We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks in a vector autoregression to trace out their macroeconomic implications. Forward guidance shocks that lower expected future policy rates lead to moderate increases in economic activity and inflation. After examining forward guidance shocks in the data, we show that a standard model of nominal price rigidity can reproduce our empirical findings. To estimate our theoretical model, we generate a model-implied futures curve that closely links our model with the data. Our results suggest no disconnect between the empirical effects of forward guidance shocks around policy announcements and the predictions from a standard theoretical model.

中文翻译：

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前向制导冲击的动态效应

我们研究了在零下限时前瞻指引冲击的宏观经济影响。根据经验，我们使用围绕货币政策公告的期货合约的意外变化来识别前瞻指引冲击。然后，我们将这些政策冲击嵌入向量自回归中，以追踪它们的宏观经济影响。降低预期未来政策利率的前瞻性指导冲击导致经济活动和通胀温和增加。在检查数据中的前瞻性指导冲击后，我们表明名义价格刚性的标准模型可以重现我们的实证结果。为了估计我们的理论模型，我们生成了一个模型隐含的期货曲线，将我们的模型与数据紧密联系起来。