Evaluating the Effects of Forward Guidance--论文代写范文精选

此外,意想不到的变化,似乎也有类似的影响，关于就业和通胀的变化。这些不同的政策措施有相似的宏观经济影响,变化改变利率水平远低于传统的货币政策。三个因素可以解释指导的估计能力。下面的essay代写范文进行详述。

Abstract
Since 2008, FOMC forward guidance that lowered the expected path of the federal funds rate resulted in increases in employment and inflation. The stimulatory effect on the economy suggests that any information about the economic outlook contained in such forward guidance is trumped by the promise of more accommodative future monetary policy. In other words, any advantage the FOMC may have in forecasting the macroeconomy is overshadowed by its ability to target the future path of the federal funds rate. Consumers and firms reacted to announced periods of exceptionally low future interest rates by increasing aggregate demand, leading to more hiring and increased inflationary pressure in the U.S. economy. 

Furthermore, unexpected changes in forward guidance appear to have similar effects on employment and inflation as a change in the effective federal funds rate prior to the zero lower bound period. These different policy measures have quantitatively similar macroeconomic effects even though forward guidance changes shift the level of interest rates much less than conventional monetary policy changes. Three factors could explain forward guidance’s estimated potency. First, unlike conventional monetary changes, forward guidance announcements have a larger effect on long-term expected rates than near-term expected rates. Second, forward guidance announcements alter expected interest rates at much longer horizons than conventional monetary policy changes. Third, concurrent changes in the FOMC’s QE programs, which often accompanied forward guidance announcements, may have amplified the estimated effects of forward guidance. 

A statistical model of forward guidance 
We use a vector autoregression (VAR) to evaluate how the economy responds to the FOMC’s use of forward guidance. The sample starts in December 2008, when the target federal funds rate was set to its effective lower bound, and ends in December 2014. The VAR includes seven variables: employment growth, inflation, and the expected federal funds rate at five horizons in the future. We measure employment growth using the monthly change in nonfarm payrolls and the inflation rate using the percent change in the price index for personal consumption expenditures (PCE). These variables are closely related to the Federal Reserve’s dual mandate to keep the economy operating near full employment with stable prices. To measure how investors’ views about the future path of the federal funds rate have evolved since late 2008, we examine changes in the prices of interest rate futures contracts. 

The Chicago Board of Trade’s federal funds futures market allows investors to purchase a contract which pays them interest on their investment equal to the average federal funds rate during the settlement month. These futures contracts are written up to 36 months in advance, but until recently, only the near-term contracts (those written for the next two to three months) were heavily traded. Since the end of 2008, when the FOMC began to increasingly use forward guidance, longer-term contracts have become more widely traded. Chart 1 shows one measure of market participation, open interest, in contracts five to 12 months ahead has increased substantially since 2008. The increase in open interest indicates these contracts have become more liquid and, therefore, that their prices better reflect market-wide views of where the federal funds rate is headed as opposed to liquidity premiums. 

The VAR includes a range of expected future interest rates, starting with the federal funds rate expected three FOMC meetings into the future to the federal funds rate expected seven meetings into the future.6 With eight (scheduled) FOMC meetings per year roughly six weeks apart, the response of the expected federal funds rate after the third future meeting to a forward guidance shock can be interpreted as the change in the expected federal funds rate four to five months from the announced forward guidance. Similarly, the response of the expected federal funds rate seven meetings into the future can be interpreted as the change in the expected federal funds rate about one year from the announced guidance.7 

We use changes in the closing price of federal funds contracts from the day before an FOMC statement to the day the statement is issued to measure the change in investors’ expectations about the future path of policy rates. The methodology used to extract the change in investors’ expectations follows from previous FOMC announcement event studies and is documented in the Appendix (Gürkaynak, Sack, and Swanson, 2005 and 2007; Doh and Connelly; Berge and Cao).8 Unlike previous studies that have used interest rate futures contracts to measure the effects of FOMC forward guidance, we include the extracted change in investors’ expectations about future monetary policy as an endogenous variable in the VAR. 

Previous research suggests that changes in federal funds futures contracts are not purely exogenous (Piazzesi and Swanson). Table 2 presents the results of a test for predictability of the daily change in interest rate futures contracts around FOMC meetings over the December 2008 to December 2014 sample. Table 2 shows that one lag of PCE inflation or one lag of employment growth is able to systematically predict a portion of the change in the implied federal funds futures rates around FOMC meetings.9 This predictability implies estimates of the effects of forward guidance which treat the extracted changes in interest rates futures as unforecastable will be biased. We therefore identify forward guidance shocks from the portion of the change in federal funds futures implied rates that cannot be explained by lagged macroeconomic variables. We isolate a forward guidance shock from all other shocks hitting the U.S. economy in any given month as an exogenous change in the expected future path of interest rates that does not affect employment and inflation contemporaneously. 

This assumption follows from the notion that prices and employment are slow to adjust to changes in monetary policy (see, for example, Friedman). This assumption is also the standard identifying device used to elicit the effects of changes in the effective federal funds rate on employment and inflation when the target federal funds rate is not at its effective lower bound. Consequently, estimates of the effects of forward guidance and changes in conventional monetary policy are comparable along this important dimension.

The effects of FOMC forward guidance An unexpected change in the FOMC’s forward guidance that lowered the expected path of future policy rates during the zero lowerbound period is estimated to have stimulated the U.S. economy. Chart 2 shows how nonfarm payrolls, the PCE price index (on a log scale), and the expected federal funds rate three to seven meetings into the future respond over time to a forward guidance shock that lowers expected future policy rates. Employment and the price level do not respond the month the guidance is issued, as restricted by the identifying assumptions. In subsequent months, employment begins to grow and peaks after almost four years. The cumulative growth in nonfarm payrolls totals nearly 250,000 jobs. Forward guidance implying more accommodative future policy also puts upward pressure on prices. Inflation gains accumulate to a 0.1 percent increase in the PCE price level two years after the guidance is issued. Together, these responses suggest the FOMC’s use of forward guidance had an economically significant effect on employment and a smaller, yet still significant, effect on inflation. 

However, these macroeconomic effects are not fully felt until several years after the guidance is issued. The responses of employment and inflation to a forward guidance shock imply forward guidance has qualitatively similar effects to unexpected changes in the federal funds rate. To more directly compare these policies, we estimate a conventional monetary policy VAR from August 1979 to October 2008. This time series spans the VolckerGreenspan chairmanships as well as the portion of the Bernanke chairmanship that preceded the use of unconventional monetary policy. Consequently, we use the level of the effective federal funds rate over this sample to measure the stance of monetary policy following the standard approach used, for example, in Christiano, Eichenbaum, and Evans (1999, 2005). 

In addition to the effective federal funds rate, the conventional VAR includes the monthly change in nonfarm payrolls and the monthly inflation rate measured by the PCE price index. We make the same identifying assumption as in the previous model to distinguish conventional monetary policy shocks from all other shocks to the economy. Although the macroeconomic effects of a conventional monetary policy shock on employment and prices are similar to those of a forward guidance shock, the sizes of these policy changes differ (Chart 3). 

The peak effect on payrolls and prices occurs 18-24 months after the expansionary monetary policy surprise and results in payroll gains totaling about 150,000 jobs and a total increase in the PCE price level of 0.15 percent. These estimates suggest the effects of a typical forward guidance shock on the economy are disproportionately outsized given the change in the expected future path of interest rates. Even though the typical size of a forward guidance shock is much smaller than the size of a federal funds rate shock (2.5 basis points compared with 50 basis points), both shocks result in similar changes in payrolls and prices.10 However, forward guidance shocks affect rates for a much longer time than do conventional monetary policy surprises. The effects of a forward guidance shock on the expected federal funds rate 12 months ahead (after seven FOMC meetings) are significant for the first 20 months after the guidance is issued. 

By this measure the expected federal funds rate falls a statistically significant amount 32 months after guidance is issued. Meanwhile, the effects of a conventional monetary policy shock on the effective federal funds rate dissipate after 12 months. Furthermore, forward guidance shocks that imply a lower expected path of the federal funds rate decrease the slope of the expected funds rate curve—that is, expected rates one year out fall more than expected rates four to five months out. In contrast, conventional monetary policy shocks that decrease the federal funds rate are estimated to increase the slope of the expected funds rate—the policy rate falls more in the near term than the long term.

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