Where Have the Monetary Surprises Gone? The Effects of FOMC Statements
July 1, 2007
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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.
Subject: Asset prices, Futures, Long term interest rates, Market interest rates, Short term interest rates
Keywords: interest rate, market, monetary policy, WP, yield
Pages:
24
Volume:
2007
DOI:
Issue:
185
Series:
Working Paper No. 2007/185
Stock No:
WPIEA2007185
ISBN:
9781451867497
ISSN:
1018-5941
