[Seminaire CREM] Présentation de Sylverie HERBERT, Banque de France
When does Monetary Policy Matter? Policy Stance vs. Term Premium News
Jeudi 4 décembre 2025, 12h15Passat
Abstract:
This paper investigates when monetary policy announcements matter for asset prices. We identify a fundamental heterogeneity in FOMC statements based on the underlying nature of information conveyed about future policy. Using a novel classification, we identify meetings that convey substantial information about uncertainty surrounding future policy as opposed to directional guidance. These statements -- one-third of the total -- drive most, if not all, of monetary policy effects on long-term interest rates, through term premium adjustments rather than expected short-term rates. Our classification resolves why policy announcements explain little variance in long-term rates despite driving their dynamics over time.
Le document est disponible Quand la politique monétaire est-elle efficace ? Signaux sur la politique monétaire future et prime de terme | Banque de France
