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Philipps-Universität Marburg >
Faculty of Business Administration and Economics, Philipps-Universität Marburg >
MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/30112
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hayo, Bernd | | en_US |
| dc.contributor.author | | Neuenkirch, Matthias | | en_US |
| dc.date.accessioned | | 2009-08-26 | | en_US |
| dc.date.accessioned | | 2010-03-05T15:43:23Z | | - |
| dc.date.available | | 2010-03-05T15:43:23Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/30112 | | - |
| dc.description.abstract | | We explain changes in the federal funds target rate using macroeconomic variables and Federal Open Market Committee (FOMC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that FOMC communication is forward-looking, with a horizon that goes beyond the next meeting. Second, our communication indicators significantly explain target rate changes and improve explanatory power in and out of sample. Third, speeches by members of the Board of Governors and regional presidents have a statistically significant and equal-sized effect, whereas the less-frequent monetary policy reports and testimonies are insignificant. Fourth, our findings are robust to variations in the specification, including changes in the communication strategy as well as a measure of unambiguous communication. Finally, our communication indicator based on FOMC speeches performs better in explaining rate changes than do newswire reports of Fed communications. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Dep. of Business Administration & Economics Marburg | | en_US |
| dc.relation.ispartofseries | | Joint discussion paper series in economics 2009,25 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.jel | | E58 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Central Bank Communication | | en_US |
| dc.subject.keyword | | Federal Reserve Bank | | en_US |
| dc.subject.keyword | | Interest Rate Decision | | en_US |
| dc.subject.keyword | | Monetary Policy | | en_US |
| dc.subject.keyword | | Federal Funds Target Rate | | en_US |
| dc.subject.keyword | | Taylor Rule | | en_US |
| dc.title | | Does FOMC communication help predicting federal funds target rate changes? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 603934641 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | MAGKS Joint Discussion Paper Series in Economics, Universität Marburg
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