On the Information Content of Asymmetric FOMC Policy Statements: Evidence From a Taylor-Rule Perspective
AbstractFor over two decades, the FOMC has included in its policy decisions a statement of bias toward subsequent tightening or easing of policy. This article examines the predictive content of these statements in a Taylor-rule setting, finding that they convey useful information for forecasting changes in the federal funds rate target, even after controlling for policy responses to inflation and the output gap. Moreover, the evidence suggests that this asymmetry can be represented in terms of shifts to the parameters of the Taylor-rule equation, indicating a greater or lesser degree of responsiveness to information about inflation and output. (JEL E52, E58) Copyright 2005, Oxford University Press.
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Bibliographic InfoArticle provided by Western Economic Association International in its journal Economic Inquiry.
Volume (Year): 43 (2005)
Issue (Month): 3 (July)
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Other versions of this item:
- Michael R. Pakko, 2003. "On the information content of asymmetric FOMC policy statements: evidence from a Taylor-rule perspective," Working Papers 2003-016, Federal Reserve Bank of St. Louis.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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