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dc.contributor.authorHayo, Bernden_US
dc.contributor.authorNeuenkirch, Matthiasen_US
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_US
dc.publisher|aUniv., Dep. of Business Administration & Economics |cMarburgen_US
dc.relation.ispartofseries|aJoint discussion paper series in economics |x2009,25en_US
dc.subject.keywordCentral Bank Communicationen_US
dc.subject.keywordFederal Reserve Banken_US
dc.subject.keywordInterest Rate Decisionen_US
dc.subject.keywordMonetary Policyen_US
dc.subject.keywordFederal Funds Target Rateen_US
dc.subject.keywordTaylor Ruleen_US
dc.titleDoes FOMC communication help predicting federal funds target rate changes?en_US
dc.type|aWorking Paperen_US

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