“鉴于其对货币传导和货币权衡的重要性，这种转变可能有助于解释为何近来通胀下降导致的产出和就业代价较低，特别是与1980年代沃尔克降通胀的时期相比”。According to a report at the global central bank annual meeting in Jackson Hole on Saturday, the bond market has become more sensitive to inflation data only after the Fed raised interest rates in 2022. This indicates that the public did not understand the Fed's strategy before the rate hike began.
In their paper, authors Michael Bauer, Carolin Pflueger, and Adi Sunderam wrote, "Consistent with a perceived change in inflation response, event studies suggest that rates have become significantly more sensitive to inflation data after the rate hike was initiated. The enhanced perceived inflation response may help transmit monetary policy to the real economy and improve the Fed's trade-off between inflation and unemployment."
"After the Fed raised rates in March 2022, US Treasury yields and money market futures rates became significantly more sensitive to inflation news. For example, from January 2014 to March 2022, unexpected surprises in core CPI had little effect on two-year bond yields, despite multiple significant unexpected core CPI readings in 2021. However, from April 2022 to May 2024 after the rate hike was initiated, statistical data show that a 10 basis point deviation of core CPI from expectations led to a significant increase of 9.6 basis points in two-year bond yields, indicating a 1:1 response of yields to unexpected inflation."
"Given its importance for monetary transmission and monetary trade-offs, this shift may help explain why recent declines in inflation have come with lower output and employment costs, especially compared to the period of disinflation during the 1980s under Volcker."
"Surveys of professional forecasters and financial markets have shown that in the Fed's recent rate hike cycle, public perception has shifted toward a strong systemic response to inflation, which in standard models would help drive larger declines in inflation in the face of declining output. However, our research findings also suggest that a significant rate hike is needed to change perceptions, as the public does not fully understand the Fed's strategy and policy rules before the first rate hike."
"Third, innovation in allowing for clearer communication of expected monetary policy rules could be helpful. For example, economic forecasts could link macroeconomic and policy rate forecasts to make it easier for the public to understand the Fed's reaction function."