Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance

• 成果类型: Article
• 署名作者: Lunsford, Kurt G.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181721
• 发表日期: 2020
• 页码: 2899-2934
• 关键词: central bank communication; stock markets reaction; monetary-policy; interest-rates; linear regressions; dummy variables; coefficients; EQUALITY; sets; heteroskedasticity

摘要

I show that the nature of the Federal Open Market Committee's (FOMC's) forward guidance language shapes the private sector's responses to monetary policy statements. From February 2000 to June 2003, the FOMC only gave forward guidance about economic outlook risks, and a decrease in the expected federal funds rate path caused stock prices to fall, GDP growth forecasts to fall, and the unemployment rate to rise. From August 2003 to May 2006, the FOMC added forward guidance about policy inclinations, and a decrease in the expected federal funds rate path had the opposite effects. These results suggest that forward guidance that emphasizes economic outlook risks causes stronger information effects than forward guidance that emphasizes policy inclinations.