“美联储信息效应”的另一种解释

中文摘要

将私人部门宏观经济预测修正对货币政策意外进行回归，所得系数的符号往往与标准宏观经济模型的预测相反。“美联储信息效应”认为，这些令人困惑的结果源于货币政策意外揭示了美联储掌握的私人信息。我们表明，这些结果也符合“美联储对消息的反应”渠道：在这一渠道中，美联储和专业预测者都会对新近到来的经济消息作出反应。我们提出了挑战美联储信息效应、支持美联储对消息的反应渠道的新证据，包括控制经济消息的回归、我们自行开展的专业预测者调查，以及金融市场对联邦公开市场委员会（FOMC）公告的反应。（JEL：D82、E23、E27、E43、E44、E52、E58）

Abstract

Regressions of private-sector macroeconomic forecast revisions on monetary policy surprises often produce coefficients with signs opposite to standard macroeconomic models. The “Fed information effect” argues these puzzling results are due to monetary policy surprises revealing Fed private information. We show they are also consistent with a “Fed response to news” channel, where both the Fed and professional forecasters respond to incoming economic news. We present new evidence challenging the Fed information effect and supporting the Fed response to news channel, including: regressions that control for economic news, our own survey of professional forecasters, and financial market responses to FOMC announcements. (JEL D82, E23, E27, E43, E44, E52, E58)