美联储-从SOFR期货构建高频货币政策惊喜（英）.pdf
FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(Online)Constructinghigh-frequencymonetarypolicysurprisesfromSOFRfuturesMiguelAcosta,ConnorM.Brennan,andMargaretM.Jacobson2024-034Pleasecitethispaperas:Acosta,Miguel,ConnorM.Brennan,andMargaretM.Jacobson(2024).Constructinghigh-frequencymonetarypolicysurprisesfromSOFRfutures,"FinanceandEconomicsDis-cussionSeries2024-034.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.034.NOTE:Sta workingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.Theanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchsta ortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.Constructinghigh-frequencymonetarypolicysurprisesfromSOFRfuturesMiguelAcosta∗,ConnorM.Brennan†andMargaretM.Jacobson‡May2024Eurodollarfutureswerethebedrockforconstructinghigh-frequencyseriesofmonetarypolicysurprises,sotheirdiscontinuationposesachallengeforthecontinuedempiricalstudyofmonetarypolicy.Weproposeanapproachforupdatingtheseriesof(2005)and2018)withSOFRfuturesinplaceofEurodollarfuturesthatisconceptuallyandmateriallyconsistent.WerecommendusingSOFRfuturesfromJanuary2022onwardbasedonregulatorydevelopmentsandtradingvolumes.Theupdatedseriessuggestthatsurprisesovertherecenttighteningcyclearelargerinmagnitudethanthoseseenoverthedecadepriorandrestrictiveonaverage.∗FederalReserveBoard.Miguel.Acosta@frb.gov†FederalReserveBoard.Connor.M.Brennan@frb.gov‡FederalReserveBoard.Margaret.M.Jacobson@frb.gov.TheviewsarethoseoftheauthorsandnotoftheFederalReserveBoard,Systemorgovernors.TheauthorsthankAndreaAjello,DavidBowman,DonKimandBenJohannsenandaudiencesattheFederalReserveBoardforhelpfulcommentsandfeedback.1Understandingtheeffectsofmonetarypolicyoneconomicandfinancialoutcomesisalongstandingobjectiveofmonetaryeconomics.Identifyingthecausaleffectsofmonetarypol-icyhingesonisolatingchangesinpolicythatareexogenous—thatis,attributedtomonetarypolicyactionsorcommunicationsbeyondtheendogenousresponsetoeconomicoutcomes.G¨urkaynaketal.2005)and2018)(henceforth,GSSandNS,respectively)designedseriesofmonetarypolicysurprisesthatcaptureexogenousvariationinthecurrentand,crucially,thefuturepathofpolicy—acentralfeatureofmodernmone-tarypolicy.TheseseriesrelyonchangesinmarketpricesofEurodollarfuturescontractsinshorttimewindowsaroundFOMCannouncements.However,withthephaseoutofLIBOR,Eurodollarfuturesnolongerexist,makingitimpossibletodirectlyupdatetheseseriesofmonetarypolicysurprises.1ThecontributionofthispaperistodocumenthowtheseworkhorseseriesofmonetarypolicysurprisescancontinuetobeupdatedusingSecuredOvernightFinancingRate(SOFR)futuresasanalternativeforEurodollarfutures.WedescribeinstitutionalfeaturesofEu-rodollarandSOFRfuturesandshowthatbetween
