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Author Swiston, A. (Andrew James),
Title Where have the monetary surprises gone? : the effects of FOMC statements / prepared by Andrew Swiston.
Imprint [Washington, D.C.] : International Monetary Fund, 2007.

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Author Swiston, A. (Andrew James),
Series IMF working paper, 2227-8885 ; WP/07/185
IMF working paper ; WP/07/185.
Subject United States. Federal Open Market Committee.
Monetary policy -- Econometric models.
Banks and banking, Central -- Econometric models.
Communication -- Econometric models.
Alt Name International Monetary Fund. Western Hemisphere Department.
Description 1 online resource (24 pages) : illustrations
Bibliography Note Includes bibliographical references (pages 23-24).
Summary This paper examines the impact of central bank communication on market expectations of monetary policy and long-term interest rates by comparing Federal Open Market Committee (FOMC) action dates when a policy statement was made to dates before statements were issued. Increased communication has been associated with a reduction in the magnitude of short-term monetary surprises; a greater flow of information about the long-term path of policy that is distinct from the short-term surprise; and a larger role for these long-term surprises in the determination of long-term interest rates.
Access Use copy Restrictions unspecified star
Reproduction Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
System Details Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Note digitized 2010 HathiTrust Digital Library committed to preserve pda
Print version record.
Contents I. Introduction; II. Literature Review; Tables; 1. Changes in the Federal Funds Rate and Treasury Yields; 2. Monetary Policy Actions; III. Information About Monetary Policy and Empirical Implications of Statements; IV. Have Statements Made Short-Term Policy More Predictable?; Figures; 1. Current-Month Monetary Policy Surprises, July 1989-March 2007; 3. The Distribution of Daily Changes in Federal Funds Futures for the Current FOMC Meeting; 4. The Distribution of Daily Changes in the Expected Federal Funds Rate After the Next FOMC Meeting.
v. Have Statements Provided Additional Information About the Future Path of Monetary Policy?A. Calculating Long-Term Surprises; 5. Correlation Between Changes in Current-Month Federal Funds and Four-Quarter Eurodollar Futures; B. The Impact of Statements on Long-Term Surprises; 2. Long-Term Monetary Policy Surprises, July 1989-2007; 6. The Distribution of Daily Changes in Long-Term Monetary Surprises; C. Which Effect Predominates?; 7. The Distribution of Daily Changes in Four-Quarter Eurodollar Futures.
VI. Have Statements Led to an Increased Role for Long-Term Surprises in Explaining Interest Rate Movements?8. Policy Surprises and Treasury Yields Before February 1994 and After March 1999; 9. The Influence of Long-Term Surprises on Treasury Yields; VII. Conclusions; References.
Note English.
ISBN 1283515296
ISBN/ISSN 10.5089/9781451912029.001
OCLC # 647119214
Additional Format Print version: Swiston, A. (Andrew James). Where have the monetary surprises gone?. [Washington, D.C.] : International Monetary Fund, 2007 (OCoLC)227839585

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