FOMC Communication Policy and the Accuracy of Fed Funds Futures

Over the last two decades, the Federal Open Market Committee (FOMC), the rate-setting body of the United States Federal Reserve System, has become increasingly communicative and transparent. According to policymakers, one of the goals of this shift has been to improve monetary policy predictability. Previous academic research has found that the FOMC has indeed become more predictable. Here, I contribute to the literature in two ways. First, instead of simply looking at predictability before and after the Fed's communication reforms in the 1990s, I identify three distinct periods of reform and measure their separate contributions. Second, I correct the interest rate forecasts embedded in fed funds futures contracts for risk premiums, in order to obtain a less biased measure of predictability. My results suggest that the communication reforms of the early 1990s and the 'guidance' provided from 2003 significantly improved predictability, while the release of the FOMC's policy bias in 1999 had no measurable impact. Finally, I find that FOMC speeches and testimonies significantly lower short-term forecasting errors.central bank communication, central bank transparency, futures pricing, financial market efficiency

Polynomial Interpretations over the Natural, Rational and Real Numbers Revisited

Polynomial interpretations are a useful technique for proving termination of term rewrite systems. They come in various flavors: polynomial interpretations with real, rational and integer coefficients. As to their relationship with respect to termination proving power, Lucas managed to prove in 2006 that there are rewrite systems that can be shown polynomially terminating by polynomial interpretations with real (algebraic) coefficients, but cannot be shown polynomially terminating using polynomials with rational coefficients only. He also proved the corresponding statement regarding the use of rational coefficients versus integer coefficients. In this article we extend these results, thereby giving the full picture of the relationship between the aforementioned variants of polynomial interpretations. In particular, we show that polynomial interpretations with real or rational coefficients do not subsume polynomial interpretations with integer coefficients. Our results hold also for incremental termination proofs with polynomial interpretations.Comment: 28 pages; special issue of RTA 201

Labelings for Decreasing Diagrams

This article is concerned with automating the decreasing diagrams technique of van Oostrom for establishing confluence of term rewrite systems. We study abstract criteria that allow to lexicographically combine labelings to show local diagrams decreasing. This approach has two immediate benefits. First, it allows to use labelings for linear rewrite systems also for left-linear ones, provided some mild conditions are satisfied. Second, it admits an incremental method for proving confluence which subsumes recent developments in automating decreasing diagrams. The techniques proposed in the article have been implemented and experimental results demonstrate how, e.g., the rule labeling benefits from our contributions

Decreasing Diagrams and Relative Termination

In this paper we use the decreasing diagrams technique to show that a left-linear term rewrite system R is confluent if all its critical pairs are joinable and the critical pair steps are relatively terminating with respect to R. We further show how to encode the rule-labeling heuristic for decreasing diagrams as a satisfiability problem. Experimental data for both methods are presented.Comment: v3: missing references adde

Layer Systems for Proving Confluence

We introduce layer systems for proving generalizations of the modularity of confluence for first-order rewrite systems. Layer systems specify how terms can be divided into layers. We establish structural conditions on those systems that imply confluence. Our abstract framework covers known results like modularity, many-sorted persistence, layer-preservation and currying. We present a counterexample to an extension of persistence to order-sorted rewriting and derive new sufficient conditions for the extension to hold. All our proofs are constructive

Testing for inherited thrombophilia does not reduce the recurrence of venous thrombosis\ud

Background: Inherited thrombophilia is only weakly associated with recurrence in patients with a first venous thrombosis (VT). In spite of this, thrombophilia testing is often performed in these patients. Positive results may influence patient management such as prolonged anticoagulant treatment or intensified prophylaxis in high-risk situations. Objective: To investigate whether thrombophilia testing reduces the risk of recurrent VT by virtue of these management alterations. Methods: From a large case–control study of patients (MEGA study), aged 18–70 years, with a first VT between 1999 and 2004, we selected 197 patients who had had a recurrence during follow-up. We compared the incidence of thrombophilia testing to that of a control cohort of 324 patients. We calculated the odds ratio (OR) for recurrent thrombosis in tested vs. non-tested patients. Only patients who were tested before recurrence were regarded as tested. All first and recurrent thrombotic events were objectively confirmed. Results: Thrombophilia tests were performed in 35% of cases and in 30% of controls. The OR for recurrence was 1.2 [95% confidence interval (CI) 0.9–1.8] for tested vs. non-tested patients. After correction for age, sex, family history, geographic region, presence of clinical risk factors, and year of first VT, the OR remained unchanged. Discussion: Thrombophilia testing in patients with a first VT does not reduce the incidence of recurrence in clinical practice.\u

Automating the First-Order Theory of Rewriting for Left-Linear Right-Ground Rewrite Systems

The first-order theory of rewriting is decidable for finite left-linear right-ground rewrite systems. We present a new tool that implements the decision procedure for this theory. It is based on tree automata techniques. The tool offers the possibility to synthesize rewrite systems that satisfy properties that are expressible in the first-order theory of rewriting

Central bank transparency and the crowding out of private information in an experimental asset market

Central banks have become increasingly communicative. An important reason is that democratic societies expect more transparency from public institutions. Central bankers, based on empirical research, also believe that sharing information has economic benefits. Communication is seen as a way to improve the predictability of monetary policy, thereby lowering financial market volatility and contributing to a more stable economy. However, a potential side-effect of providing costless public information is that market participants may be less inclined to invest in private information. Theoretical results suggest that this can hamper the ability of markets to predict future monetary policy. We test this in a laboratory asset market. Crowding out of information acquisition does indeed take place, but only where it is most pronounced does the predictive ability of the market deteriorate. Notable features of the experiment include a complex setup based directly on the theoretical model and the calibration of experimental parameters using empirical measurements