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Where Have the Monetary Surprises Gone? The Effects of FOMC Statements
Author: Mr. Andrew J Swiston
Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 185
Language:
English
Publication Date:
01 Jul 2007
DOI:
https://doi.org/10.5089/9781451867497.001
ISBN:
9781451867497
ISSN:
1018-5941
Pages:
24
Keywords:
WP; interest rate; monetary policy; yield; market
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund