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Modelling the dynamics of unconventional monetary policies’ impact on professionals’ forecasts

Kenourgios, Dimitris, 1973-, Papadamou, Stephanos, Dimitriou Dimitrios, Zopounidis Konstantinos

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URIhttp://purl.tuc.gr/dl/dias/BF38126A-BEAB-4339-9F1C-89DB6E9D6809-
Identifierhttps://doi.org/10.1016/j.intfin.2019.101170-
Identifierhttps://www.sciencedirect.com/science/article/pii/S1042443119304093-
Languageen-
Extent24 pagesen
TitleModelling the dynamics of unconventional monetary policies’ impact on professionals’ forecastsen
CreatorKenourgios, Dimitris, 1973-en
CreatorPapadamou, Stephanosen
CreatorDimitriou Dimitriosen
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
PublisherElsevieren
Content SummaryThis study quantifies the effects of the Fed’s quantitative easing (QE) and tapering programs’ announcements on professionals’ consensus forecasts of U.S. macroeconomic and financial variables at different forecast horizons. The results of a vector autoregression (VAR) analysis show that the first QE (QE1) program is more effective in terms of significantly affecting the variability of near and medium term forecasts on GDP, inflation and short-term interest rates. This is not the case for these variables of long forecast horizons across all QE/tapering announcements, the forecasts of U.S. currency and long-term rates present significant short-lived responses, while the tapering displays a dominant effect on the volatility of long-term rates across long-term forecast horizons. A dynamic correlation analysis among different horizon forecasts also reveals that the Fed successfully anchor inflation and real economic growth expectations during the expansionary policy (QE) periods. Additional findings show the anchoring of the expectations across different horizons on short-term rates, as opposed to long-term rates, during the QE1 program. During the contractionary (tapering) period, the decrease in the correlations among different horizons for the short-term rates’ forecasts is a sign that the Fed increases the range of possible outcomes and highlights a signal of a monetary policy change.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2022-04-15-
Date of Publication2020-
SubjectQuantitative easingen
SubjectTaperingen
SubjectSignalingen
SubjectMacro and Financial forecastsen
SubjectDynamic conditional correlationen
Bibliographic CitationD. Kenourgios, S. Papadamou, D. Dimitriou, and C. Zopounidis, “Modelling the dynamics of unconventional monetary policies’ impact on professionals’ forecasts,” J. Int. Financial Mark. Inst. Money, vol. 64, Jan. 2020, doi: 10.1016/j.intfin.2019.101170.en

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