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Macroeconomic Surprises and the Demand for Information about Monetary Policy

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  • Peter Tillmann

    (University of Giessen)

Abstract

This paper studies the demand for information about monetary policy, while the literature on central bank transparency and communication typically studies the supply of information by the central bank or the reception of the information provided. We use a new data set on the number of views of the Federal Reserve's website to measure the demand for information. We show that exogenous news about the state of the economy as re flected in U.S. macroeconomic news surprises raise the demand for information about monetary policy. Surprises trigger an increase in the number of views of the policy-relevant sections of the website, but not the other sections. Hence, market participants do not only revise their policy expectations after a surprise, but actively acquire new information. We also show that attention to the Fed matters: a high number of views on the day before the news release weakens the high-frequency response of interest rates to macroeconomic surprises.

Suggested Citation

  • Peter Tillmann, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," MAGKS Papers on Economics 202007, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:202007
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    File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/paper_2020/07-2020_tillmann.pdf
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    References listed on IDEAS

    as
    1. Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
    2. Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," American Economic Review, American Economic Association, vol. 104(10), pages 3154-3185, October.
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    Cited by:

    1. Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
    2. Massimiliano Marcellino & Dalibor Stevanovic, 2022. "The demand and supply of information about inflation," CIRANO Working Papers 2022s-27, CIRANO.

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    Keywords

    macroeconomic announcements; nonfarm payroll; attention; event study; central bank communication;
    All these keywords.

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