The Impact of Monetary Policy on Yield Curve Expectations
研究美国市场参与者如何调整收益率曲线预期以应对货币政策冲击，发现整体上存在初始反应不足，随后出现延迟过度调整，这有助于央行优化政策校准。
A great deal of monetary policy is aimed at steering market expectations but little is known about agents belief formation. This article investigates how US market participants adjust yield curve expectations in response to two shocks related to monetary policy. The results show that in the aggregate, market participants initially underreact to changes in monetary policy. This implies that news are not fully absorbed, which potentially impedes a smooth monetary policy transmission. We further show that these information rigidities could be driven by a lack of information diffusion among individual forecasters. Last, we find that depending on the source of the shock and the maturities of the yields, underreaction is followed by a period of overcompensation a pattern called delayed overshooting. Knowing this allows the central bank to better calibrate their actions in the first place, which could pave the way for more optimal monetary policy.