tailieunhanh - Federal Reserve Transparency and Financial Market Forecasts of Short-Term Interest Rates

Since the financial crisis, there has been renewed interest in documenting the balance- sheet positions of financial institutions. We share the important goal of this literature: to come up with data on positions that will inform the theoretical modeling of these insti- tutions, as called for by Franklin Allen in his 2001 AFA presidential address. Adrian and Shin (2011) investigate the behavior of Value-at-Risk measures reported by investment banks. They document that VaR per dollar of book equity stayed constant throughout the last decade, including the financial crisis, when these institutions were deleverag- ing. He, Khang, and Krishnamurthy (2010) document the behavior of book values of balance sheet. | Federal Reserve Transparency and Financial Market Forecasts of Short-Term Interest Rates Eric T. Swanson Board of Governors of the Federal Reserve System eswanson@ Abstract The 1990s and early 2000s witnessed an unprecedented increase in central bank transparency around the world yet there has been little empirical work that convincingly demonstrates any economic benefits of increased central bank transparency. This paper shows that since the late 1980s . financial markets and private sector forecasters have become 1 better able to forecast the federal funds rate at horizons out to several months 2 less surprised by Federal Reserve announcements 3 more certain of their interest rate forecasts ex ante as measured by interest rate options and 4 less diverse in the cross-sectional variety of their interest rate forecasts. We also show that increases in Federal Reserve transparency are likely to have played a role for example private sector forecasts of GDP and inflation have not experienced similar improvements over the same period indicating that the improvement in interest rate forecasts has been special. JEL Classification E52 E58 E43 E44 Version February 9 2004 I thank Jim Clouse Vincent Reinhart Bill Whitesell and John Driscoll for helpful discussions comments and suggestions and Ryan Michaels for excellent research assistance. The views expressed in this paper and all errors and omissions should be regarded as those solely of the author and do not necessarily represent those of the individuals or groups listed above the Federal Reserve System or its Board of Governors. 1 1. Introduction The 1990s and early 2000s witnessed an unprecedented increase in central bank transparency with New Zealand Canada the . Sweden Finland Israel Australia Spain the European Central Bank Norway and several developing countries all adopting an inflation targeting framework for monetary policy 1 and many other central banks dramatically increasing the amount of .

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