Term Structure, Forecast Revision, and the Signaling Channel of Monetary Policy

• 成果类型: Article
• 署名作者: Zhang, Donghai
• 署名单位: University of Bonn
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvac008
• 发表日期: 2022
• 页码: 1522-1553
• 关键词: federal-reserve information; long-run; interest-rates; sticky prices; tell us; expectations; credibility; identification; inflation; surprises

摘要

Monetary policy shocks affect interest rates at long horizons (10 years or more). Furthermore, the private sectoras real GDP forecasts are revised upward in response to a monetary tightening. These facts challenge the prevailing theories in academic and policy circles. In this paper, I propose a micro-founded model to rationalize those facts, based on the signaling channel of monetary policy. I consider a framework where the central bank has private information about future economic conditions. Agents update their beliefs according to Bayes' theorem. Policy actions play a signaling role, and may therefore rationalize the above empirical findings.