中文摘要
本文研究中央银行与市场为何持有不同的信念。我引入一个模型, 将分歧形式化为三种机制: 关于基本面的非对称信息、对政策规则的不同认知, 以及对公开信号的不同信心。我展示如何利用这些机制对多个变量之信念的预测来分别识别它们。在美国数据中, 负面宏观经济新闻预示市场相对实际数据和美联储预测高估利率与就业。估计结果表明, 市场对货币政策规则存在轻微误设, 且对公开信息的信心显著不足。中央银行的私人信息与“信息效应”在数量上可以忽略不计。
Abstract
This paper studies why central banks and markets hold different beliefs. I introduce a model that formalizes three mechanisms for disagreement: asymmetric information about fundamentals, different perceptions of the policy rule, and different confidence in public signals. I show how to separately identify these mechanisms using their predictions for beliefs about multiple variables. In US data, negative macroeconomic news predicts market over-estimation of interest rates and employment relative to realizations and Federal Reserve forecasts. The estimates imply that markets slightly misspecify the monetary rule and are significantly under-confident in public information. Central-bank private information and “information effects” are quantitatively negligible.