Where Have the Monetary Surprises Gone? The Effects of FOMC Statements

July 1, 2007

Preview Citation

Format: Chicago

Andrew J Swiston. Where Have the Monetary Surprises Gone? The Effects of FOMC Statements, (USA: International Monetary Fund, 2007) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper examines the impact of central bank communication on market expectations of monetary policy and long-term interest rates by comparing Federal Open Market Committee (FOMC) action dates when a policy statement was made to dates before statements were issued. Increased communication has been associated with a reduction in the magnitude of short-term monetary surprises; a greater flow of information about the long-term path of policy that is distinct from the short-term surprise; and a larger role for these long-term surprises in the determination of long-term interest rates.

Subject: Asset prices, Futures, Long term interest rates, Market interest rates, Short term interest rates

Keywords: Interest rate, Market, Monetary policy, WP, Yield

Publication Details

Pages:

24
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/185
Stock No:

WPIEA2007185
ISBN:

9781451867497
ISSN:

1018-5941

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