A Note on the Reactions of Real Yields to Different Types of Forward Guidance in the US

Frederik Neugebauer (), Ralf Fendel () and Nils Niederhagen ()
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Frederik Neugebauer: WHU - Otto Beisheim School of Management
Ralf Fendel: WHU - Otto Beisheim School of Management
Nils Niederhagen: WHU - Otto Beisheim School of Management

Economics Bulletin, 2017, vol. 37, issue 4, 2703-2710

Abstract: We analyze the effectiveness of forward guidance in the United States in form of an event study. The results confirm that in general forward guidance has a significant adverse effect on US Treasury Inflation-Protected Securities yields. However, the parallel announcement of asset purchases dampens the effectiveness of forward guidance. By additionally decomposing forward guidance into three types we find that date-based is the most effective form while qualitative-based and threshold-based forward guidance show only minor impacts.

Keywords: forward guidance; monetary policy; real yields (search for similar items in EconPapers)
JEL-codes: E5 (search for similar items in EconPapers)
Date: 2017-12-01
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Citations: View citations in EconPapers (2)

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