Changes in the Federal Reserve Communication Strategy:  A Structural Investigation

Yasuo Hirose, Takushi Kurozumi

研究成果: Article

2 引用 (Scopus)

抜粋

This paper structurally investigates the changes in the Fed's communication strategy since the mid-1990s through the lens of anticipated and unanticipated disturbances to a Taylor rule. The anticipated disturbances are identified using Treasury bond yield data in estimating a dynamic stochastic general equilibrium (DSGE) model with a term structure of interest rates. Our estimation results show that the Fed's decisions were unanticipated for market participants until 1999, but thereafter a larger portion of its future policy actions tended to be communicated in advance. We also find that the relative contribution of the anticipated monetary policy disturbances to macroeconomic fluctuations became larger after 1999. The bond yield data is indispensable to these results, since it contains crucial information on an expected future path of the federal funds rate.

元の言語English
ページ(範囲)171-185
ページ数15
ジャーナルJournal of Money, Credit and Banking
49
発行部数1
DOI
出版物ステータスPublished - 2017 2 1

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

フィンガープリント Changes in the Federal Reserve Communication Strategy:  A Structural Investigation' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。

  • これを引用