Where Have the Monetary Surprises Gone? The Effects of FOMC Statements

Author/Editor:

Andrew J Swiston

Publication Date:

July 1, 2007

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper examines the impact of central bank communication on market expectations of monetary policy and long-term interest rates by comparing Federal Open Market Committee (FOMC) action dates when a policy statement was made to dates before statements were issued. Increased communication has been associated with a reduction in the magnitude of short-term monetary surprises; a greater flow of information about the long-term path of policy that is distinct from the short-term surprise; and a larger role for these long-term surprises in the determination of long-term interest rates.

Series:

Working Paper No. 2007/185

Subject:

English

Publication Date:

July 1, 2007

ISBN/ISSN:

9781451867497/1018-5941

Stock No:

WPIEA2007185

Pages:

24

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