Growth forecasts and news about monetary policy

• 成果类型: Article
• 署名作者: Karnaukh, Nina; Vokata, Petra
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.07.001
• 发表日期: 2022
• 页码: 55-70
• 关键词: Monetary policy news; Growth forecasts; Federal funds futures; predictability

摘要

We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip profes-sionals' revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision pre-dicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimates of monetary policy effects on the economy. First, the Fed's information effect dissipates as the truly unpre-dictable policy news shock does not affect professionals' beliefs about the economy. Sec-ond, net policy shock has a more negative impact on actual future GDP than the raw policy shock.(c) 2022 Elsevier B.V. All rights reserved.