Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence
American Economic Journal: Macroeconomics
vol. 15,
no. 3, July 2023
(pp. 355-87)
Abstract
Does the Federal Reserve have an "information advantage" in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to information on the future state of the economy that the Federal Reserve communicates in its announcements via an "information channel"? This paper investigates the evolution of both the information advantage and the information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in recent years once instabilities are accounted for.Citation
Hoesch, Lukas, Barbara Rossi, and Tatevik Sekhposyan. 2023. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence." American Economic Journal: Macroeconomics, 15 (3): 355-87. DOI: 10.1257/mac.20200068Additional Materials
JEL Classification
- C53 Forecasting Models; Simulation Methods
- E32 Business Fluctuations; Cycles
- E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- E47 Money and Interest Rates: Forecasting and Simulation: Models and Applications
- E52 Monetary Policy
- E58 Central Banks and Their Policies
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