Changes in the Federal Reserve Communication Strategy: A Structural Investigation
通过分析泰勒规则中的预期与非预期扰动，结合国债收益率数据估计DSGE模型，发现美联储自1999年后更多提前沟通未来政策行动，且预期扰动对宏观经济波动的影响增大。
This paper structurally investigates the changes in the Fed's communication strategy since the mid‐1990s through the lens of anticipated and unanticipated disturbances to a Taylor rule. The anticipated disturbances are identified using Treasury bond yield data in estimating a dynamic stochastic general equilibrium (DSGE) model with a term structure of interest rates. Our estimation results show that the Fed's decisions were unanticipated for market participants until 1999, but thereafter a larger portion of its future policy actions tended to be communicated in advance. We also find that the relative contribution of the anticipated monetary policy disturbances to macroeconomic fluctuations became larger after 1999. The bond yield data is indispensable to these results, since it contains crucial information on an expected future path of the federal funds rate.