Replication data for: FOMC Forward Guidance and Investor Beliefs

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Project Citation:

Sinha, Arunima. Replication data for: FOMC Forward Guidance and Investor Beliefs. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116310V1

Project Description

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:
      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

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V1 [2019-12-07]

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