Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidences

• 成果类型: Article
• 署名作者: Hoesch, Lukas; Rossi, Barbara; Sekhposyan, Tatevik
• 署名单位: Vrije Universiteit Amsterdam; Tinbergen Institute; Barcelona School of Economics; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Texas A&M University System; Texas A&M University College Station
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20200068
• 发表日期: 2023
• 页码: 355-387
• 关键词: federal-reserve information; forecast rationality tests; heteroskedasticity; models; shocks

摘要

Does the Federal Reserve have an information advantage in fore-casting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to information on the future state of the economy that the Federal Reserve communicates in its announce-ments via an information channel? This paper investigates the evolution of both the information advantage and the information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in recent years once instabilities are accounted for. (JEL C53, E32, E37, E47, E52, E58)