Anticipations of Monetary Policy in Financial Markets
发现自1980年代末起，金融市场能提前数月预测美联储的利率变动，并将这种预测能力的增强归因于利率调整的渐进性和政策透明度的提高。
In recent years, financial markets appear better able to anticipate Federal Open Market Committee (FOMC) policy changes. Beginning in the late 1980s and early 1990s, longer-term interest rates and futures rates have tended to incorporate movements in the federal funds rate several months in advance, in contrast to the largely contemporaneous response typically observed before that time. After identifying these emerging trends, the paper parses the enhanced predictability into a component that can be attributed to the autoregressive behavior of the funds rate and a nonautoregressive component. The paper considers institutional developments in FOMC policy making that may have contributed to each of these components, including gradualism in adjusting the federal funds rate target and transparency regarding the setting of the target and future policy intentions.