Working Paper: CEPR ID: DP10001
Authors: Carlo Altavilla; Domenico Giannone
Abstract: We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures undertaken by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using individual survey data, we analyse the changes in forecasting of bond yields around the announcement and implementation dates of non-standard monetary policies. The results indicate that bond yields are expected to drop significantly for at least one year after the announcement and the implementation of accommodative policies.
Keywords: Forward Guidance; Large Scale Asset Purchases; Operation Twist; Quantitative Easing; Survey of Professional Forecasters; Tapering
JEL Codes: E58; E65
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Nonstandard monetary policy measures (E49) | expected conventional policy (E64) |
| Nonstandard monetary policy measures (E49) | macroeconomic environment (E66) |
| Revisions of forecasters' expectations (C53) | bond yields (G12) |
| Nonstandard monetary policy measures (E49) | bond yields (G12) |
| Announcement and implementation of accommodative policies by the Federal Reserve (E52) | bond yields (G12) |