forward guidance
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2021 ◽  
Vol 30 (3) ◽  
pp. 897-925
Author(s):  
Guilherme Ricardo dos Santos Souza e Silva
Keyword(s):  

Resumo Comportamentos atípicos das taxas de juros têm sido frequentes nas economias desenvolvidas. Apesar de intuitivamente improváveis, títulos soberanos com taxas de juros negativas estão presentes em grande parte dos países europeus e a curva a termo dos títulos do Tesouro apresentou inversão durante meses nos Estados Unidos. O presente artigo apresenta a influência do emprego de instrumentos convencionais e não convencionais de política monetária pelos Bancos Centrais sobre os fenômenos anteriormente mencionados, e uma interpretação fundamentada na Teoria da Preferência pela Liquidez de Keynes. Tal interpretação explica, a partir do comportamento dos agentes, por que os programas de compras de ativos públicos e privados, o controle da curva a termo e o modelo de comunicação baseado na prescrição futura (forward guidance) dos Bancos Centrais podem influenciar os mercados financeiros, com efeitos relativamente persistentes. Essa situação vem permitindo a ocorrência de fenômenos não habituais relacionados às taxas de juros.


2021 ◽  
pp. 1-39
Author(s):  
Stephen J. Cole ◽  
Enrique Martínez-García

Abstract This paper examines the effectiveness of forward guidance shocks in the US. We estimate a New Keynesian model with imperfect central bank credibility and heterogeneous expectations using Bayesian methods and survey data from the Survey of Professional Forecasters (SPF). The results provide important takeaways: (1) The estimated credibility of the Fed’s forward guidance announcements is relatively high, but anticipation effects are attenuated. Accordingly, output and inflation do not respond as favorably as in the fully credible counterfactual. (2) The so-called “forward guidance puzzle” arises partly from the unrealistically large responses of macroeconomic variables to forward guidance under perfect credibility and homogeneous fully informed rational expectations, assumptions which are found to be jointly inconsistent with the observed US data. (3) Imperfect credibility provides a plausible explanation for the empirical evidence of forecasting error predictability based on forecasting disagreement found in the SPF data. Thus, we show that accounting for imperfect credibility and forecasting disagreements is important to understand the formation of expectations and the transmission mechanism of forward guidance.


Headline UNITED STATES: Forward guidance will help calm markets


2021 ◽  
Author(s):  
Michael D Bauer ◽  
Aeimit K Lakdawala ◽  
Philippe Mueller

Abstract Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate this using event studies of FOMC announcements and a new model-free uncertainty measure based on derivatives. Over the ‘FOMC uncertainty cycle’ announcements systematically resolve uncertainty, which then gradually ramps up again. Changes in monetary policy uncertainty around FOMC announcements—often due to forward guidance—have pronounced effects on asset prices that are distinct from the effects of conventional policy surprises. The level of uncertainty determines the magnitude of financial market reactions to surprises about the path of policy rates.


2021 ◽  
pp. 1-32
Author(s):  
XIN DENG ◽  
LIN GE ◽  
XUAN WU

This study analyzed the channels responsible for the spillover effect of the US Federal Reserve’s (Fed’s) forward guidance on China’s financial markets with an event study and EGARCH model with data collected over the past decade. The Fed’s forward guidance affects China’s foreign exchange, bond, stock and money markets. In the three trading days before and after the event, China’s foreign exchange market had an instantaneous reaction, the bond and stock market had lagged reactions, and the money market reaction lasted for the full event window. The Fed’s forward guidance on China’s financial market differs based on the Fed’s monetary policy, guidance type and whether the guidance content is adjusted or not.


2021 ◽  
Author(s):  
Manthos D Delis ◽  
Sizhe Hong ◽  
Nikos Paltalidis ◽  
Dennis Philip

Abstract We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis, we build a forward guidance measure based on the language used in the Federal Open Market Committee meetings and match this measure with syndicated loans. Our results show that expansionary forward guidance decreases corporate loan spreads and that this effect is stronger for well-capitalized banks lending to riskier firms. Forward guidance also affects nonprice lending terms, such as covenants, performance pricing provisions, and the loan syndicate structure. Additionally, banks tend to initiate new lending relationships with lower spreads after forward guidance issuance.


2021 ◽  
Author(s):  
André Marine Charlotte ◽  
Traficante Guido

Estudiamos la guía futura (con duración conocida e incierta) en un modelo Nuevo-Keynesiano para una economía avanzada pequeña y abierta, mostrando que la respuesta de la economía a esta política depende, de manera cuantitativa y cualitativa, de algunas características estructurales mediante calibraciones para Suecia y España. En particular, anunciar una política expansiva futura está relacionado positivamente con el traspaso del tipo de cambio a la inflación y es mayor que en una economía cerrada, debido a una mejor disyuntiva entre producto e inflación y al canal del tipo de cambio. Además, se demuestra que múltiples equilibrios pueden ocurrir y que el tipo de cambio real es una variable crucial para obtener tal resultado. En particular, la respuesta del producto y la inflación se amplifica cuando la oferta agregada está relacionada negativamente al tipo de cambio real. Estos resultados no necesariamente se podrían extrapolar a economías emergentes.


2021 ◽  
Author(s):  
Gunda‐Alexandra Detmers ◽  
Ozer Karagedikli ◽  
Richhild Moessner
Keyword(s):  

Author(s):  
Callum Jones ◽  
Mariano Kulish ◽  
Daniel M. Rees

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