![[Seminaire CREM] Présentation de Sylverie HERBERT, Banque de France](https://cdn.openagenda.com/main/91cc26a9a8cb49c8ab1c4a6629e027c0.base.image.jpg)
Abstract:
This paper investigates when monetary policy announcements matter for asset prices. We identify a fundamental heterogeneity in FOMC statements based on the underlying nature of information conveyed about future policy. Using a novel classification, we identify meetings that convey substantial information about uncertainty surrounding future policy as opposed to directional guidance. These statements -- one-third of the total -- drive most, if not all, of monetary policy effects on long-term interest rates, through term premium adjustments rather than expected short-term rates. Our classification resolves why policy announcements explain little variance in long-term rates despite driving their dynamics over time.
Le document est disponible Quand la politique monétaire est-elle efficace ? Signaux sur la politique monétaire future et prime de terme | Banque de France
Source : OpenAgenda
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