Affiliation:
1. Department of Economics, Universität Hamburg, CEPR, and CESifo (email: )
2. Department of Economics, University of California, Irvine, and NBER (email: ).
Abstract
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)
Publisher
American Economic Association
Subject
Economics and Econometrics
Reference42 articles.
1. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
2. Rational expectations and the role of monetary policy
3. Rules, discretion and reputation in a model of monetary policy
4. Bauer, Michael D., and Eric T. Swanson. 2023. "Replication Data for: An Alternative Explanation for the "Fed Information Effect"." American Economic Association [Publisher], Inter-university Consortium for Political and Social Research [Distributor]. https://doi.org/10.3886/E181661V1.
5. What Explains the Stock Market's Reaction to Federal Reserve Policy?
Cited by
26 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献