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来源类型Working Paper
规范类型报告
DOI10.3386/w27013
来源IDWorking Paper 27013
An Alternative Explanation for the \u201cFed Information Effect\u201d
Michael D. Bauer; Eric T. Swanson
发表日期2020-04-20
出版年2020
语种英语
摘要High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to what standard macroeconomic models would predict. This evidence has been viewed as supportive of a “Fed information effect” channel of monetary policy, whereby an FOMC tightening (easing) communicates that the economy is stronger (weaker) than the public had expected. We show that these empirical results are also consistent with a “Fed response to news” channel, in which incoming, publicly available economic news causes both the Fed to change monetary policy and the private sector to revise its forecasts. We provide substantial new evidence that distinguishes between these two channels and strongly favors the latter; for example, (i) regressions that include the previously omitted public economic news, (ii) a new survey that we conduct of Blue Chip forecasters, and (iii) high-frequency financial market responses to FOMC announcements all indicate that the Fed and private sector are simply responding to the same public news, and that there is little if any role for a “Fed information effect”.
主题Macroeconomics ; Money and Interest Rates ; Monetary Policy
URLhttps://www.nber.org/papers/w27013
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/584685
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Michael D. Bauer,Eric T. Swanson. An Alternative Explanation for the \u201cFed Information Effect\u201d. 2020.
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