Do Federal Reserve communications help predict federal funds target rate decisions?
Bernd Hayo and
Matthias Neuenkirch
Journal of Macroeconomics, 2010, vol. 32, issue 4, 1014-1024
Abstract:
We explain federal funds target rate decisions using macroeconomic variables and Federal Reserve 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 our communication indicators significantly explain target rate decisions and improve explanatory power in and out of sample. Second, 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 congressional hearings are insignificant. Third, our findings are robust to variations in the specification, including changes in the communication strategy. Finally, our communication indicator based on Federal Reserve speeches performs better in explaining target rate decisions than do newswire reports of Fed communications.
Keywords: Central; bank; communication; Federal; Reserve; Bank; Interest; rate; decision; Monetary; policy; Federal; funds; target; rate; Taylor; rule (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (108)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164-0704(10)00053-4
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions? (2009) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:32:y:2010:i:4:p:1014-1024
Access Statistics for this article
Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos
More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().