货币政策信息渠道消失了吗?重新审视经验证据

IF 6.3 1区经济学 Q1 ECONOMICS

American Economic Journal-Macroeconomics Pub Date : 2023-07-01 DOI:10.1257/mac.20200068

Lukas Hoesch, Barbara Rossi, Tatevik Sekhposyan

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引用次数: 1

摘要

美联储在预测宏观经济变量方面是否具有“信息优势”，超出了私营部门预测者所知的范围?市场参与者是只对货币政策冲击做出反应，还是对美联储(fed)通过“信息渠道”在公告中传达的有关未来经济状况的信息也做出反应?本文研究了信息优势和信息渠道随时间的演变。虽然它们在历史上似乎很重要，但我们发现，一旦考虑到不稳定因素，近年来它们存在的经验证据就会大大减弱。(凝胶c53, e32, e37, e47, e52, e58)

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

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 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)

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来源期刊

American Economic Journal-Macroeconomics ECONOMICS-

CiteScore

8.20

自引率

1.70%

发文量

期刊介绍： American Economic Journal: Macroeconomics focuses on studies of aggregate fluctuations and growth, and the role of policy in that context. Such studies often borrow from and interact with research in other fields, such as monetary theory, industrial organization, finance, labor economics, political economy, public finance, international economics, and development economics. To the extent that they make a contribution to macroeconomics, papers in these fields are also welcome.