تغییرات تاثیر اخبار اقتصادی مورد انتظار در سیاست های پولی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27495||2012||18 صفحه PDF||سفارش دهید||12707 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Macroeconomics, Volume 34, Issue 2, June 2012, Pages 362–379
Asset prices may react to news through changes in expected monetary policy. We examine whether economic news directly affects expected changes in monetary policy, measured by changes in federal funds rate futures prices. Because these prices depend on monthly averages of the effective funds rate, the timing of FOMC meetings relative to news announcements is important and we derive a method of weighting the news that incorporates this timing. We find that the market raises (lowers) its expected change in the funds rate target after news that inflation was higher (lower) than expected or employment was stronger (weaker) than expected.
It is well-known that “news about changing economic conditions” affects asset prices. Empirical work largely supports the prediction that asset prices quickly respond to news, although identified news events (the arrival of news observed by the researcher) typically explain only a small fraction of asset price changes. While there are many studies of the effects of news on asset prices, there is still no consensus on why the news causes such changes.1 The Bernanke/Kuttner conjecture that news about economic conditions affects expectations of future policy, which we test in this paper, bears on the question of why economic news affects asset prices. Researchers generally assume that the news causes agents to revise their expectations of the future values of the fundamental variables that affect asset prices. But as Faust et al. (2007) point out, agents may also factor in the likely response of the Federal Reserve. For example, news that inflation was higher than expected is thought to raise the expected inflation rate, which should cause nominal interest rates to rise via the Fisher Effect. However, it may be that the market expects monetary policy to respond to the inflation surprise and raise interest rates directly. The importance of these alternative mechanisms can be seen by considering the response of exchange rates to news of unexpected inflation. In this case, an increase in expected inflation would cause the domestic currency to depreciate while the prospect of tighter monetary policy would cause it to appreciate. Andersen et al. (2003, p. 59) note that A positive U.S. inflation surprise would tend to produce dollar depreciation (e.g. when the U.S. central bank reaction function assigns relatively low weight to the level of inflation), whereas in other interpretations it would produce dollar appreciation (e.g. when the U.S. central bank reaction function shows strong preference for low inflation, as in Taylor (1993)) In this paper we isolate the influence of news on expected changes in monetary policy by investigating how news changes the market’s expectation of the federal funds rate target. Previous work shows that short-run changes in federal funds rate futures prices are an appropriate measure of the market’s short-run expectations of Fed policy moves.2 We use these short-run changes as our dependent variable and estimate models relating changes in federal funds futures prices to standard measures of economic news. Since the data provide strong evidence that economic news affects expected monetary policy we explore various aspects of the effects. We consider how rapidly federal funds futures prices react to news, the symmetry of responses to positive and negative news, the possible dependency of the effects on the state of the economy, and the stability of the relationships over time. The paper is organized as follows. Section 2 briefly reviews past work on news and asset prices. Section 3 shows how the timing of FOMC meetings must be taken into account when specifying how news affects expected monetary policy changes and describes our data. Section 4 presents our empirical specifications and our estimated results and section 5 concludes.
نتیجه گیری انگلیسی
There is substantial evidence that economic news moves asset prices. It is less clear whether at least part of the response is due to changes in expected monetary policy. Since price changes in fed funds futures contracts are widely thought to reflect changes in the financial market’s expectations about future FOMC funds rate targets, we examine whether economic news is related to this measure of expected monetary policy. A novelty of our paper is that we pay attention to the timing of FOMC meetings when estimating the effects of news. Because fed funds futures prices reflect monthly averages of daily funds rates, the effect of any news event on these prices should depend on if or when the FOMC meets in a particular month. We find that, as Bernanke and Kuttner (2005) posited, the market does change its expectation of FOMC moves after certain news events. News that inflation was higher than expected or the employment picture was stronger than expected raises the expected change in the fed funds target, consistent with market participants believing the Fed follows some form of Taylor rule. Surprisingly, we find that the federal funds futures market reacts slowly to some news, particularly news on inflation, with significant effects occurring during the period from 15 min to 6 h after an announcement. Splitting our period of 1995–2008 into two periods reveals that the market placed more weight on inflation surprises in the latter half of our sample. There is only weak evidence that the market reacts differently to positive versus negative surprises and somewhat stronger evidence that the reactions depend on the state of the economy. We find that paying attention to the timing of the FOMC meetings does increase the estimated effects of news on expected changes in monetary policy. Our results also shed light on the transmission mechanism by which news affects asset prices. We find that several news events have little or no effect on expected monetary policy. Thus if studies find that these news events trigger asset price changes, it must be through a different channel than through changes in expected monetary policy.