The effects of information shocks under low vs. high uncertainty

This study investigates how the effects of information shocks vary depending on macroeconomic uncertainty, aiming to provide new insights into the transmission of central bank signals in different economic conditions. Information shocks are a still little-studied but very interesting strand of macroeconomics that combines technical aspects, such as the reactions of economic variables, with more psychological aspects, such as the behavior and responses of institutions and individuals. The effect of these shocks was studied using the local projection method, with which the presence of two scenarios could be easily introduced, so that the effects in the two regimes could be studied and compared. Through Bayesian learning theory, an economic interpretation is given to the results, which report a positive effect of information shocks on the economy, and in particular, this positive effect is amplified in the case of high uncertainty.