Do Federal Reserve communications help predict federal funds target rate decisions?

被引：57

作者：

Hayo, Bernd ^{[1
]}

Neuenkirch, Matthias ^{[1
]}

机构：

[1] Univ Marburg, Fac Business Adm & Econ, D-35032 Marburg, Germany

来源：

JOURNAL OF MACROECONOMICS | 2010年 / 32卷 / 04期

关键词：

Central bank communication; Federal Reserve Bank; Interest rate decision; Monetary policy; Federal funds target rate; Taylor rule;

D O I：

10.1016/j.jmacro.2010.06.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We explain federal funds target rate decisions using macroeconomic variables and Federal Reserve communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that our communication indicators significantly explain target rate decisions and improve explanatory power in and out of sample. Second, speeches by members of the Board of Governors and regional presidents have a statistically significant and equal-sized effect, whereas the less-frequent monetary policy reports and congressional hearings are insignificant. Third, our findings are robust to variations in the specification, including changes in the communication strategy. Finally, our communication indicator based on Federal Reserve speeches performs better in explaining target rate decisions than do newswire reports of Fed communications. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：1014 / 1024

页数：11

共 30 条

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