Paper #1701

Títol:

Has the information channel of monetary policy disappeared? Revisiting the empirical evidence

Autors:

Lukas Hoesch, Barbara Rossi i Tatevik Sekhposyan

Data:

Febrer 2020

Resum:

Does the Federal Reserve have an "information advantage" in forecasting 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 announcements via an "information channel"? This paper investigates the evolution of both the information advantage and information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in the recent years once instabilities are accounted for.

Paraules clau:

Forecasting, monetary policy, instabilities, time variation, survey forecasts, information channel of monetary policy.

Codis JEL:

C11, C14, C22, C52, C53

Àrea de Recerca:

Macroeconomia i Economia Internacional

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