Can more public information raise uncertainty? The international evidence on forward guidance

• 成果类型: Article
• 署名作者: Ehrmann, Michael; Gaballo, Gaetano; Hoffmann, Peter; Strasser, Georg
• 署名单位: European Central Bank; European Central Bank; Bank of France; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.012
• 发表日期: 2019
• 页码: 93-112
• 关键词: central bank communication; heterogeneous beliefs; Forward guidance; DISAGREEMENT; Macroeconomic news

摘要

Central banks have used different types of forward guidance. This paper reports cross-country evidence showing that, in general, forward guidance mutes the response of government bond yields to macroeconomic news. However, calendar-based guidance with a short horizon counter-intuitively raises it. Using a stylized model where agents learn from market signals, it shows that the public release of more precise information about future rates lowers the informativeness of market signals and, as a consequence, may increase uncertainty and amplify the reaction of expectations to macroeconomic news. (C) 2019 Elsevier B.V. All rights reserved.