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Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States

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  • Amir Kia
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    Abstract

    This paper extends the literature by developing an objective market based index, which is dynamic and continuous and can be used to measure the monetary policy transparency for a country or, simultaneously, a series of countries.

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    File URL: http://www.economicissues.org.uk/Files/2011/211ckia.pdf
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    Bibliographic Info

    Article provided by Economic Issues in its journal Economic Issues.

    Volume (Year): 16 (2011)
    Issue (Month): 2 (September)
    Pages: 53-80

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    Handle: RePEc:eis:articl:211ckia

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    Web page: http://www.economicissues.org.uk
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    1. Geraats, P. & Eijffinger, S.C.W. & Cruijsen, C.A.B. van der, 2006. "Does Central Bank Transparency Reduce Interest Rates?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-178750, Tilburg University.
    2. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
    3. van der Cruijsen, Carin A.B. & Eijffinger, Sylvester C.W. & Hoogduin, Lex H., 2010. "Optimal central bank transparency," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1482-1507, December.
    4. Iris Biefang-Frisancho Mariscal & Peter Howells, 2007. "Monetary Policy Transparency in the UK: The Impact of Independence and Inflation Targeting," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(5), pages 603-617.
    5. Demertzis, Maria & Hughes Hallett, Andrew, 2007. "Central Bank transparency in theory and practice," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 760-789, December.
    6. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," Working Papers 1038, Princeton University, Department of Economics, Center for Economic Policy Studies..
    7. Demiralp, Selva & Jorda, Oscar, 2004. "The Response of Term Rates to Fed Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 387-405, June.
    8. Eijffinger, S.C.W. & Geraats, P., 2002. "How Transparent are Central Banks?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-88701, Tilburg University.
    9. Yu Hsing, 2007. "Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 155-159.
    10. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
    11. Swanson, Eric T., 2006. "Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(3), pages 791-819, April.
    12. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
    13. International Monetary Fund, 2003. "Cross-Country and Cross-Sector Analysis of Transparency of Monetary and Financial Policies," IMF Working Papers 03/94, International Monetary Fund.
    14. Chadha, Jagjit S. & Nolan, Charles, 2001. "Inflation Targeting, Transparency and Interest Rate Volatility: Ditching Monetary Mystique in the U.K," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 349-366, July.
    15. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
    16. Kotomin, Vladimir & Winters, Drew B., 2007. "The impact of the return to lagged reserve requirements on the federal funds market," Journal of Economics and Business, Elsevier, vol. 59(2), pages 111-129.
    17. Petra M. Geraats, 2002. "Central Bank Transparency," Economic Journal, Royal Economic Society, vol. 112(483), pages 532-565, November.
    18. Dai, Meixing & Sidiropoulos, Moïse, 2008. "Central bank's conservativeness and transparency," Research in Economics, Elsevier, vol. 62(4), pages 179-187, December.
    19. Simon, David P, 1990. " Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes," Journal of Finance, American Finance Association, vol. 45(2), pages 467-77, June.
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