My da|ra Login

Detailed view

metadata language: English

Data and Code for "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance"

Version
1
Resource Type
Dataset
Creator
  • Lunsford, Kurt G. (Federal Reserve Bank of CLeveland)
Publication Date
2020-08-26
Free Keywords
Central Bank Communication; Event Study; Federal Funds Futures; Monetary Policy
Description
  • Abstract

    I show that the nature of the Federal Open Market Committee’s (FOMC’s) forward guidance language shapes the private sector’s responses to monetary policy statements. From February 2000 to June 2003, the FOMC only gave forward guidance about economic outlook risks, and a decrease in the expected federal funds rate path caused stock prices to fall, GDP growth forecasts to fall, and the unemployment rate to rise. From August 2003 to May 2006, the FOMC added forward guidance about policy inclinations, and a decrease in the expected federal funds rate path had the opposite effects. These results suggest that forward guidance that emphasizes economic outlook risks causes stronger information effects than forward guidance that emphasizes policy inclinations.
Availability
Download
This study is freely available to the general public via web download.
Relations
  • Is version of
    DOI: 10.3886/E118802
Publications
  • Lunsford, Kurt G. “Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance.” American Economic Review, n.d.

Update Metadata: 2020-08-29 | Issue Number: 1 | Registration Date: 2020-08-29

Lunsford, Kurt G. (2020): Data and Code for "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance". Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E118802V1