Has the information channel of monetary policy disappeared? Revisiting the empirical evidence

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• dc.contributor.author Hoesch, Lukas
• dc.contributor.author Rossi, Barbara, 1971-
• dc.contributor.author Sekhposyan, Tatevik
• dc.date.accessioned 2025-04-22T07:04:33Z
• dc.date.available 2025-04-22T07:04:33Z
• dc.date.issued 2023
• dc.description Supplementary materials files: online appendix; replication data.
• dc.description.abstract Does the Federal Reserve have an "information advantage" in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to information on the future state of the economy that the Federal Reserve communicates in its announcements via an "information channel"? This paper investigates the evolution of both the information advantage and the information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in recent years once instabilities are accounted for.en
• dc.description.sponsorship This research is supported by the ERC Grant 615608 and the Cerca Programme/Generalitat de Catalunya. The Barcelona School of Economics acknowledges financial support from the Spanish Ministry of the Economy and Competitiveness through the Severo Ochoa Programme for Centers of Excellence in R&D (SEV-2015-0063). Part of this research was carried out while Tatevik Sekhposyan was a visiting fellow at the Federal Reserve Bank of San Francisco, whose hospitality is greatly acknowledged. The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System.en
• dc.format.mimetype application/pdf
• dc.identifier.citation Hoesch L, Rossi B, Sekhposyan T. Has the information channel of monetary policy disappeared? Revisiting the empirical evidence. Am Econ J Macroecon. 2023 Jul;15(3):355-87. DOI: 10.1257/mac.20200068
• dc.identifier.doi http://dx.doi.org/10.1257/mac.20200068
• dc.identifier.issn 1945-7707
• dc.identifier.uri http://hdl.handle.net/10230/70181
• dc.language.iso eng
• dc.publisher American Economic Association
• dc.relation.ispartof American Economic Journal: Macroeconomics. 2023 Jul;15(3):355-87
• dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/615608
• dc.rights © American Economic Association. Can be found at https://doi.org/10.1257/mac.20200068.
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.other Macroeconomiaca
• dc.subject.other Previsióca
• dc.subject.other Política monetàriaca
• dc.title Has the information channel of monetary policy disappeared? Revisiting the empirical evidenceen
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/publishedVersion