پیش بینی بازار از اعمال سیاست های پولی و انتقال نرخ بهره به نرخ های بازار خزانه داری ایالات متحده

This paper decomposes monetary policy changes into anticipated and unanticipated ones. Then US Treasury rate pass-through and the corresponding central bank reaction function are analyzed within an asymmetric error–correction framework. Our empirical analysis indicates that changes in policy rate have a significant effect on Treasury rates in all maturity spectra during periods of anticipated policies only, implying asymmetric transmission. Moreover, some evidence is provided in favor of a nonlinear adjustment toward a long-run equilibrium, as the long-term rates adjust faster in such periods. Impulse response analysis indicates that in periods of low monetary policy anticipation, a shock in long term rates may engage central bank to significant reactions reflected in the policy rate with possible destabilizing effects for the economy. Given that smooth interest rate movements are linked to successful management of the economy more transparent policies are suggested. Our findings can be useful for the US monetary authorities in their attempt to monitor the long-term rate pass-through and reinforce monetary policy effectiveness.

Interest rate pass-through transmission mechanism is very important for the achievement of monetary policy goals by central banks. The monetary policy affects income and inflation to a large extent through its effects on the public's expectations about the future policy. Many investment decisions depend on longer-term interest rates that are connected to monetary policy through expectations of short-term interest rates over the lifetime of the investment. In our days managing successfully inflation expectations by central banks is crucial for economic stability (Cecchetti and Krause, 2002, Geraats, 2002, Issing, 2004, Spyromitros and Tuysuz, 2012 and Van der Cruijsen and Demertzis, 2007). In economic literature, there are many studies indicating theoretically and empirically the benefits of adopting more transparent monetary policies by central banks (for an extensive review see Eijffinger and Van der Cruijsen, 2007). On the one hand a recently emerged strand of theoretical literature analyzes the effect of central bank's transparency on learning. In reaction to the critique toward rational expectations, models that include learning agents are constructed. According to Svensson (2003) transparency may have a large impact on learning by the private sector to form the right expectations about the economy and inflation. In this line Eusepi (2005) argued that transparency can reduce uncertainty and stabilize expectations. Other beneficial effects of central bank transparency on economy are: (i) the reduction of sacrifice ratio (e.g. Chortareas et al., 2003 and Dai and Sidiropoulos, 2008); (ii) the achievement of lower level of inflation (Hughes Hallett and Libich, 2006) and of lower variability of inflation (Demertzis and Hughes Hallett, 2007); and (iii) the dynamic stability of the economy (Dai and Spyromitros, 2012). On the other hand, there is a significant number of empirical studies providing evidence that central bank's transparency implies market anticipation of monetary policy (see among other Biefang-Frisancho Mariscal and Howells, 2006, Chortareas et al., 2002, Haldane and Read, 2000, Kohn and Sack, 2003, Lange et al., 2003, Poole et al., 2002 and Swanson, 2004)1. In this context, Kia (2011) develops a market-based transparency index for the US based on monetary policy anticipation. Kuttner (2001) and Poole et al. (2002) indicate how monetary policy anticipations can be measured. They argue that the futures market of the federal fund rate could anticipate monetary policy actions. A federal fund future contract is a bet on the average effective federal fund rate for the month in which the contract matures. Consequently, the federal fund futures rate reflects the market's expectation for the average level of the federal fund rate for that month (Poole and Rasche, 2003). Given that in theory the main way in which a cut in short-term rates will affect longer-term rates is through changing the expectations of future short rates, information of federal fund futures may be crucial when studying interest rate transmission. Moreover, some times the financial markets exhibit a high level of information asymmetry and the central bank faces severe problems with market credibility (Barros et al., 2012). Previous literature that analyzes term structure effects from monetary policy actions includes, among others, studies by Buttiglone et al. (1997), Cook and Hahn (1989), Evans and Marshall (1998), Favero et al. (1996), Haldane and Read (2000), Kuttner (2001), and Lindberg et al. (1997). All of them indicate a positive effect of short-term rates on long-term rates2. However, none of these studies focus on the interest rate pass-through under transparent versus less transparent policies, a gap in literature that this paper tries to fill. Moreover, the vast majority of these papers focus on the way in which short-term policy changes affect long-term rate changes by ignoring, most of the time, the long-run relationship. On the other hand, a number of these papers assume only contemporaneous effects without considering any time lag effects. Recently empirical findings indicate a general decline in the effectiveness of monetary policy at the longer horizons of the yield curve (see for instance, Demiralp and Jorda, 2004 and Gurkaynak et al., 2005). Additionally, Demiralp and Yılmaz (2012) illustrate that the decline in the responsiveness to monetary policy along the yield curve is much more muted during tightening periods, implying asymmetric interest rate pass-through3. Therefore, in order to take into account the long run relationship between long and short term rates and to investigate further the effectiveness of monetary policy transmission, this paper postulates that another source of asymmetric response is whether a policy is anticipated or not. In this context, the contribution of this paper to existing monetary policy literature is twofold. First, quantitatively identifies the interest rate pass through from the Fed discount rate to long-term Treasury rates over periods of high versus low monetary policy understanding by the markets. Second, provides empirical evidence on the response of policy rate to long-term rate shocks under such periods. The empirical approach adopted here allows us to distinguish the importance of expectations implied by long-term rates on discount and federal fund rate. The results can be summarized as follows. The changes in policy rate have a significant effect on Treasury rates in all maturity spectra during periods of anticipated policies only, implying asymmetric transmission. Moreover, some evidence is provided in favor of a nonlinear adjustment toward a long-run equilibrium, as the long-term rates adjust faster in such periods. In periods of low monetary policy anticipation, a shock in the long-term rates may engage central bank to significant reactions reflected in the policy rate with possible destabilizing effects for the economy. Therefore, given that smooth interest rate movements are linked to successful management of the economy more transparent policies are suggested. The rest of the paper is organized as follows. Section 2 presents data and methodology used. Section 3 discusses the empirical findings, while Section 4 concludes.

This paper by studying interest rate pass-through over periods of high versus low monetary policy understanding reveals useful information about the way that monetary policy should be conducted when using the interest rate as a policy tool. The empirical findings reported herein, indicate in a rather robust and consistent manner that, in the case of US, the level of central bank transparency implied by monetary policy anticipations can have a significant effect on the transmission of monetary policy to the TB markets. The one period-lagged change in policy rate has a significant effect on TB rates in all maturity spectra during periods of anticipated policies only. Therefore, there is evidence for an asymmetric transmission. This finding shed light on the previous studies arguing for a general decline in the effectiveness of monetary policy at the longer horizons of the yield curve (see for instance, Demiralp and Jorda, 2004 and Gurkaynak et al., 2005). For an efficient monetary policy, any change in the central bank policy rate has to be transmitted to long-term rates via inflation anchoring, ultimately influencing investment decisions and therefore domestic demand and output (Roley and Sellon, 1995). Therefore, transparent monetary policy actions that increase forecasting ability of the private sector about monetary policy can be effective weapon in the fight against uncertainty and time lags in the transmission of monetary policy to markets. Our findings imply that long term rate pass-through is significant under well informed agents. The adjustment of long term rate to the long run equilibrium relationship between policy rate and the long rate is faster over period of high monetary anticipation implied by futures market. This result implies that the private sector learns easier the rational expectations equilibrium and converges to it faster. This can be really valuable in periods when monetary authorities need to offset economic shocks without affecting inflation expectations. Impulse response analysis results reveal that in periods of low monetary policy anticipations a bond market shock may engage central bank to significant reactions reflected in the policy rate. On the one hand, a high level of monetary policy anticipations by market participants allows central bankers to engage in smoother movements of policy rate in order to manage inflation expectation enhancing the stabilization of the economy. On the other hand, in an environment of low monetary policy anticipations central bankers are forced in more frequent and significant movements of policy rates with possible destabilizing effects for the economy. Given that smooth interest rate movements are linked to successful management of the economy more transparent policies are suggested. In conclusion, our findings can be useful for the US monetary authorities in their attempt to monitor the long term rate pass-through and reinforce monetary policy effectiveness. More specifically, a properly designed and transparent strategy, accurately executed by central banks will be beneficial for the conduct and smooth transmission of monetary policy. In effect, if the interest rate transmission is not efficient, then the required policy reaction by the monetary authorities will have to be stronger in order to achieve the same end result. On a broader level, this study indicates that central bank communication is an essential part of conducting monetary policy. In line with Andersson et al. (2006), and Reeves and Sawicki (2007), an increased understanding of monetary policy actions can enhance the effectiveness of monetary policy tools such as the central bank's discount rate.