Market-Based Measures of Monetary Policy Expectations
基于市场的货币政策预期度量AI 解读 ↓
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分类依据与纠错
AI 根据所提供的论文材料归类：摘要直接涉及货币政策预测、公告周围金融工具的高频变化和政策冲击度量。
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基于市场的货币政策预期度量
- 研究问题
- 哪些金融市场工具能更好预测联邦基金利率路径，公告周围构造的政策冲击又在多大程度上反映行动时点变化？
- 方法与思路
- 作者比较多种市场工具与标准时间序列模型的预测表现，分析当月联邦基金期货冲击，并提出较长期预期的替代度量。
- 材料陈述的贡献
- 摘要称市场工具在所考察期限上优于时间序列基准，联邦基金期货在六个月内表现最好，并揭示当月冲击的时点成分。
- 阅读关注点
- 应核对工具和预测期限、预测评价标准，以及替代冲击如何区分行动时点与政策路径变化及其识别限制。
- 阅读边界
- 仅依据所给 OpenAlex 摘要；样本期、比较误差和冲击识别条件未说明，不能将所报告预测优势推广到其他时期。
原文摘要
A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months. For longer horizons, the predictive power of many of the instruments we consider is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions that do not influence the expected course of policy beyond a horizon of about six weeks. We propose an alternative shock measure that captures changes in market expectations of policy over slightly longer horizons.