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Does the Federal Reserve have Private Information about its Future Actions?
Author(s) -
Taş Bedri Kamil Onur
Publication year - 2016
Publication title -
economica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.532
H-Index - 65
eISSN - 1468-0335
pISSN - 0013-0427
DOI - 10.1111/ecca.12174
Subject(s) - federal funds , federal reserve economic data , futures contract , business , private information retrieval , economics , excess reserves , monetary policy , quantitative easing , finance , monetary economics , central bank , statistics , mathematics
This paper contributes to the ongoing debate about the existence and source of asymmetric information between the Federal Reserve and the public by examining the federal funds rate forecasts. It compares the Federal Reserve federal funds rate forecasts with the predictions of alternative forecasting models and forecasts from the futures market for federal funds. The results show that the Federal Reserve has superior information about its own future policy actions, the future federal funds rate. The results are robust to alternative specifications.