Data and Code for: Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence

Principal Investigator(s):  View help for Principal Investigator(s) Lukas Hoesch, Vrije Universiteit Amsterdam and Tinbergen Institute; Barbara Rossi, Universitat Pompeu Fabra, Barcelona School of Economics and CREI; Tatevik Sekhposyan, Texas A&M University

Version:  View help for Version V1

Name File Type Size Last Modified
  code 05/01/2022 10:27:AM
  data 05/01/2022 10:27:AM
  data_raw 05/01/2022 10:27:AM
  include 05/01/2022 10:28:AM
  results 05/01/2022 10:26:AM
LICENSE.txt text/plain 1.5 KB 05/01/2022 07:39:AM
README.pdf application/pdf 250.5 KB 08/31/2022 01:31:AM
ReplicateAppendix.m text/x-matlab 3.7 KB 05/01/2022 06:26:AM
ReplicatePaper.m text/x-matlab 3.9 KB 05/01/2022 06:26:AM
UpdateDatasets.do text/plain 3.9 KB 05/01/2022 06:26:AM

Project Citation: 

Hoesch, Lukas, Rossi, Barbara, and Sekhposyan, Tatevik. Data and Code for: Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-06-23. https://doi.org/10.3886/E169301V1

Project Description

Summary:  View help for Summary
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 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.

Scope of Project

Subject Terms:  View help for Subject Terms Monetary Policy; Information Channel of Monetary Policy; Central Bank Information Advantage; Instabilities; Time Variation; Survey Forecasts; Forecasting
JEL Classification:  View help for JEL Classification
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      C52 Model Evaluation, Validation, and Selection
      E52 Monetary Policy
      E58 Central Banks and Their Policies
      E66 General Outlook and Conditions
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1/1979 – 12/1/2019
Data Type(s):  View help for Data Type(s) aggregate data; program source code

Methodology

Geographic Unit:  View help for Geographic Unit Country

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Published Versions

V1 [2023-06-23]

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