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Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
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Jon Faust
Veröffentlicht/Copyright:
6. Oktober 2004
Abstract
A number of recent papers have hypothesized that the Federal Reserve possesses information about the course of inflation and output that is unknown to the private sector, and that policy actions by the Federal Reserve convey some of this superior information. We conduct two tests of this hypothesis: 1) could monetary policy surprises be used to improve the private sector's ex ante forecasts of subsequent macroeconomic statistical releases, and 2) does the private sector revise its forecasts of macroeconomic statistical releases in response to these monetary policy surprises? We find little evidence that Federal Reserve policy surprises convey superior information about the state of the economy: they could not systematically be used to improve forecasts of statistical releases and forecasts are not systematically revised in response to policy surprises. One possible exception to this pattern is Industrial Production, a statistic that the Federal Reserve produces.
Published Online: 2004-10-06
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Advances Article
- Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero
- Contributions Article
- Aggregate Price Changes and Dispersion: A Comparison of the Equity and Goods and Services Markets
- Dissemination of Technology in Market and Planned Economies
- Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?
- Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution
- What Does It Take to Explain Procyclical Productivity?
- Endogenous Distribution, Politics, and the Growth-Equity Tradeoff
- Explaining Speculative Expansions
- Tariffs, Entry Regulation and Markups: Country Size Matters
- Schumpeterian Growth, North-South Trade and Wage Rigidity
- Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
- Bailouts and Bank Runs in a Model of Crony Capitalism
- Multiple Equilibria in Heterogeneous Expectations Models
- Topics Article
- Empirical Perspectives on Long-Term External Debt
- Output Gap Uncertainty and Monetary Policy During the 1970s
- The UK Household Sector Demand for Risky Money
- The Relationship between Stock Prices, House Prices and Consumption in OECD Countries
- Labor Market Performance and Flexibility: Which Comes First?
- A Simple Locally Interactive Model of Ergodic and Nonergodic Growth
- Do Minimum Wages Raise the NAIRU?
- Strictly Endogenous Growth with Non-renewable Resources Implies an Unbounded Growth Rate
- Creative Destruction and Policy in a Model of Endogenous Growth
- Intergenerational Habits, Fiscal Policy, and Welfare
- Output Composition of the Monetary Policy Transmission Mechanism in Japan
- Socio-Cultural Variables and Economic Success: Evidence from Italian Provinces 1951-1991
- Monetary Policy and the Information Content of the Yield Spread
- The Dynamics of Fertility and Growth: Baby Boom, Bust and Bounce-Back
- Imbalance Effects in the Lucas Model: an Analytical Exploration
- Assessing Aggregate Tests of Efficiency for Dynamic Economies
- The Output Gap, Expected Future Inflation and Inflation Dynamics: Another Look
- Unions and Workforce Adjustment Costs
Schlagwörter für diesen Artikel
Federal Reserve;
private information;
monetary policy surprises;
monetary policy shocks
Artikel in diesem Heft
- Advances Article
- Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero
- Contributions Article
- Aggregate Price Changes and Dispersion: A Comparison of the Equity and Goods and Services Markets
- Dissemination of Technology in Market and Planned Economies
- Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?
- Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution
- What Does It Take to Explain Procyclical Productivity?
- Endogenous Distribution, Politics, and the Growth-Equity Tradeoff
- Explaining Speculative Expansions
- Tariffs, Entry Regulation and Markups: Country Size Matters
- Schumpeterian Growth, North-South Trade and Wage Rigidity
- Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
- Bailouts and Bank Runs in a Model of Crony Capitalism
- Multiple Equilibria in Heterogeneous Expectations Models
- Topics Article
- Empirical Perspectives on Long-Term External Debt
- Output Gap Uncertainty and Monetary Policy During the 1970s
- The UK Household Sector Demand for Risky Money
- The Relationship between Stock Prices, House Prices and Consumption in OECD Countries
- Labor Market Performance and Flexibility: Which Comes First?
- A Simple Locally Interactive Model of Ergodic and Nonergodic Growth
- Do Minimum Wages Raise the NAIRU?
- Strictly Endogenous Growth with Non-renewable Resources Implies an Unbounded Growth Rate
- Creative Destruction and Policy in a Model of Endogenous Growth
- Intergenerational Habits, Fiscal Policy, and Welfare
- Output Composition of the Monetary Policy Transmission Mechanism in Japan
- Socio-Cultural Variables and Economic Success: Evidence from Italian Provinces 1951-1991
- Monetary Policy and the Information Content of the Yield Spread
- The Dynamics of Fertility and Growth: Baby Boom, Bust and Bounce-Back
- Imbalance Effects in the Lucas Model: an Analytical Exploration
- Assessing Aggregate Tests of Efficiency for Dynamic Economies
- The Output Gap, Expected Future Inflation and Inflation Dynamics: Another Look
- Unions and Workforce Adjustment Costs
