Replication data for: FOMC Forward Guidance and Investor Beliefs
Principal Investigator(s): View help for Principal Investigator(s) Arunima Sinha
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
|
|
text/plain | 2.2 KB | 12/07/2019 07:50:AM |
|
|
text/plain | 1.6 KB | 12/07/2019 07:50:AM |
|
|
text/plain | 1.7 KB | 12/07/2019 07:50:AM |
Project Description
Summary:
View help for Summary
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.
Scope of Project
JEL Classification:
View help for JEL Classification
D14 Household Saving; Personal Finance
D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E58 Central Banks and Their Policies
D14 Household Saving; Personal Finance
D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E58 Central Banks and Their Policies
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.