Federal Reserve Transparency and Financial Market Forecasts of Short-Term Interest Rates
نویسندگان
چکیده
منابع مشابه
Federal Reserve Information and the Behavior of Interest Rates
This paper tests for the existence of asymmetric information between the Federal Reserve and the public by examining Federal Reserve and commercial inflation forecasts. It demonstrates that the Federal Reserve has considerable information about inflation beyond what is known to commercial forecasters. It also shows that monetary-policy actions provide signals of the Federal Reserve’s informatio...
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This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expe...
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This study examines whether financial markets, especially excess stock returns, contain information about changes in future values of certain macroeconomic variables. Earlier literature documents that term spreads of interest rates can predict both nominal activity, i.e. inflation, and real activity, i.e. output, consumption and industrial production, in economy. We combine stock returns and te...
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The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters. Citation Friedman, Benjamin Morton. 1977. Financial flow variables and the short-run determination of long-term interest rates.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.515862