The Dynamic Effects of Forward Guidance Shocks

• 成果类型: Article
• 署名作者: Bundick, Brent; Smith, A. Lee
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Kansas City
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00856
• 发表日期: 2020-12
• 页码: 946-965
• 关键词: monetary-policy; federal-reserve; interest-rates; inflation; prices

摘要

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.