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dc.contributor.authorHayo, Bernden
dc.contributor.authorNeuenkirch, Matthiasen
dc.date.accessioned2009-08-26-
dc.date.accessioned2010-03-05T15:43:23Z-
dc.date.available2010-03-05T15:43:23Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/30112-
dc.description.abstractWe 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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x2009,25en
dc.subject.jelE43en
dc.subject.jelE52en
dc.subject.jelE58en
dc.subject.ddc330en
dc.subject.keywordCentral Bank Communicationen
dc.subject.keywordFederal Reserve Banken
dc.subject.keywordInterest Rate Decisionen
dc.subject.keywordMonetary Policyen
dc.subject.keywordFederal Funds Target Rateen
dc.subject.keywordTaylor Ruleen
dc.titleDoes FOMC communication help predicting federal funds target rate changes?-
dc.type|aWorking Paperen
dc.identifier.ppn603934641en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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