American Economic Journal: Macroeconomics
no. 3, July 2023
Does the Federal Reserve have an "information advantage" in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to information on the future state of the economy that the Federal Reserve communicates in its announcements via an "information channel"? This paper investigates the evolution of both the information advantage and the information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in recent years once instabilities are accounted for.
Hoesch, Lukas, Barbara Rossi, and Tatevik Sekhposyan.
"Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence."
American Economic Journal: Macroeconomics,
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Central Banks and Their Policies