This report replicates and examines Bauer et al.'s (2021) paper on monetary policy transmission to financial markets. The paper introduces novel measures of monetary policy uncertainty and analyses its drivers. It also investigates the impact of uncertainty changes on interest rates and...

Bauer et al. (2022) derive market-based monetary policy uncertainty and uncover an 'FOMC uncertainty cycle' characterized by a fall of uncertainty after FOMC announcements and its subsequent built-up. Then, the authors show that the financial markets' response to monetary policy announcements...

This paper investigates the role of monetary policy uncertainty for the transmission of FOMC actions to financial markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in monetary policy uncertainty over the course of the FOMC...