“美联储信息效应”的另一种解释

IF 10.5 1区经济学 Q1 ECONOMICS

American Economic Review Pub Date : 2023-03-01 DOI:10.1257/aer.20201220

Michael D. Bauer, Eric T. Swanson

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引用次数: 10

摘要

私营部门对货币政策意外的宏观经济预测修正的回归往往产生与标准宏观经济模型相反的系数。“美联储信息效应”认为，这些令人困惑的结果是由于货币政策的意外披露了美联储的私人信息。我们表明，它们也与“美联储对新闻的反应”频道一致，在这个频道中，美联储和专业预测者都对即将到来的经济新闻做出反应。我们提出了挑战美联储信息效应的新证据，并支持美联储对新闻渠道的反应，包括:控制经济新闻的回归，我们自己对专业预测者的调查，以及金融市场对FOMC公告的反应。(jel d82, e23, e27, e43, e44, e52, e58)

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An Alternative Explanation for the “Fed Information Effect”

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 surprises revealing Fed private information. We show they are also consistent 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 forecasters, and financial market responses to FOMC announcements. (JEL D82, E23, E27, E43, E44, E52, E58)

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来源期刊

American Economic Review ECONOMICS-

CiteScore

18.60

自引率

2.80%

发文量

122

期刊介绍： The American Economic Review (AER) stands as a prestigious general-interest economics journal. Founded in 1911, it holds the distinction of being one of the nation's oldest and most esteemed scholarly journals in economics. With a commitment to academic excellence, the AER releases 12 issues annually, featuring articles that span a wide spectrum of economic topics.