On the information content of asymmetric FOMC policy statements: evidence from a Taylor-rule perspective

Michael Pakko ()

No 2003-016, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Over the past two decades, the FOMC has included in its policy decisions a statement of bias toward subsequent tightening or easing of policy. This paper examines the predictive content of these statements in a Taylor-rule setting, finding that they convey information that is useful for forecasting changes in the federal funds rate target, even after controlling for policy responses to inflation and the output gap. Moreover, the evidence suggests that this asymmetry can be represented in terms of shifts to the parameters of the Taylor-rule equation, indicating a greater or lesser degree of responsiveness to incoming information about inflation and output.

Keywords: Monetary policy; Federal Open Market Committee (search for similar items in EconPapers)
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Date: 2003
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Published in Economic Inquiry, July 2005, 43(3), pp. 558-69

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Journal Article: On the Information Content of Asymmetric FOMC Policy Statements: Evidence From a Taylor-Rule Perspective (2005)
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