FOMC Forward Guidance and Investor Beliefs
研究了美联储FOMC前瞻性指引的不同维度如何影响投资者对美国国债未来收益率变化的预期，发现零利率下限延长降低了崩盘风险预期但增加了10年期收益率的不确定性，而长期证券购买政策使投资者更倾向于预期收益率不变。
This paper considers the effect of different dimensions of the FOMC's forward guidance on ex ante investor expectations about future changes in US Treasury yields. Options and Futures data for 2- and 10-year Treasuries is used to extract State-Price Densities of investor beliefs, and the corresponding standard deviation, skewness, and excess kurtosis of these densities are computed. Announcements about extension of the zero-lower bound in 2012-13 are found to reduce the expectations about crash risk, but increase the uncertainty about future yields for the 10-year. Policies about long-security purchases lead investors to place greater weight on no change in future yields.