Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/284041 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Staff Report No. 1081
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
This paper seeks to estimate the extent to which market-implied policy expectations could be improved with further information disclosure from the FOMC. Using text analysis methods based on large language models, we show that if FOMC meeting materials with five-year lagged release dates-like meeting transcripts and Tealbooks-were accessible to the public in real time, market policy expectations could substantially improve forecasting accuracy. Most of this improvement occurs during easing cycles. For instance, at the six-month forecasting horizon, the market could have predicted as much as 125 basis points of additional easing during the 2001 and 2008 recessions, equivalent to a 40-50 percent reduction in mean squared error. This potential forecasting improvement appears to be related to incomplete information about the Fed's reaction function, particularly with respect to financial stability concerns in 2008. In contrast, having enhanced access to meeting materials would not have improved the market's policy rate forecasting during tightening cycles.
Schlagwörter: 
interest rates
monetary policy
central bank and policy
sentiment analysis
JEL: 
E43
E52
E58
C80
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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