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Central Bank Transparency and Market Efficiency : An Econometric Analysis
| Content Provider | Semantic Scholar |
|---|---|
| Author | Rafferty, Matthew Tomljanovich, Marc |
| Copyright Year | 2001 |
| Abstract | Blinder [1998] argues that more open public disclosure of central bank policies may enhance the efficiency of markets. We empirically examine this claim by studying U.S. interest rates from 1983 to 1999. We incorporate the Federal Reserve System’s 1994 policy shift toward more open disclosure in our analysis. Using time-series methods similar to Campbell and Shiller [1991], we find that the forecasting error has decreased since 1994 for interest rates on U.S. bonds of most maturity lengths. Also, markets have become less volatile in the more recent time period. Together, these results suggest that markets are not hurt by central banks revealing decision-making policy processes to the general public. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://people.colgate.edu/mtomljanovich/research/raffertytomljanovich-final.pdf |
| Alternate Webpage(s) | https://files.stlouisfed.org/files/htdocs/conferences/moconf/papers/rafferty.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Breakpoint Capability Maturity Model Disclosure Futures and promises Got Worse Openness Projections and Predictions Volatility |
| Content Type | Text |
| Resource Type | Article |
