An Alternative Explanation for the ?Fed Information Effect?

• 成果类型: Article
• 署名作者: Bauer, Michael D.; Swanson, Eric T.
• 署名单位: University of Hamburg; Leibniz Association; Ifo Institut; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20201220
• 发表日期: 2023
• 页码: 664-700
• 关键词: monetary-policy surprises; federal-reserve; interest-rates; rational expectations; forecasts; news; identification; US

摘要

Regressions of private-sector macroeconomic forecast revisions on monetary policy surprises often produce coefficients with signs opposite to standard macroeconomic models. The Fed information effect argues these puzzling results are due to monetary policy sur-prises revealing Fed private information. We show they are also con-sistent with a Fed response to news channel, where both the Fed and professional forecasters respond to incoming economic news. We present new evidence challenging the Fed information effect and supporting the Fed response to news channel, including: regressions that control for economic news, our own survey of professional fore-casters, and financial market responses to FOMC announcements. (JEL D82, E23, E27, E43, E44, E52, E58)