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Replication data for: FOMC Forward Guidance and Investor Beliefs

Version
1
Resource Type
Dataset
Creator
  • Sinha, Arunima
Publication Date
2015-05-01
Description
  • Abstract

    This paper considers the effect of different dimensions of the FOMC's forward guidance on ex ante investor expectations about future changes in US Treasury yields. Options and Futures data for 2- and 10-year Treasuries is used to extract State-Price Densities of investor beliefs, and the corresponding standard deviation, skewness, and excess kurtosis of these densities are computed. Announcements about extension of the zero-lower bound in 2012-13 are found to reduce the expectations about crash risk, but increase the uncertainty about future yields for the 10-year. Policies about long-security purchases lead investors to place greater weight on no change in future yields.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.p20151123 (Text)
Publications
  • Sinha, Arunima. “FOMC Forward Guidance and Investor Beliefs.” American Economic Review 105, no. 5 (May 2015): 656–61. https://doi.org/10.1257/aer.p20151123.
    • ID: 10.1257/aer.p20151123 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Sinha, Arunima (2015): Replication data for: FOMC Forward Guidance and Investor Beliefs. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116310V1