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Author:Herriford, Trenton 

Journal Article
How Do FOMC Projections Affect Policy Uncertainty?
In January 2012, the Federal Open Market Committee (FOMC) began publicly releasing its participants? projections for the future value of the federal funds rate. The former FOMC Chair Ben Bernanke stated that these releases help the public form policy expectations. However, Federal Reserve Bank of San Francisco President John C. Williams noted that the range of the funds rate forecast conveyed disagreement and uncertainty. These projections may be conflicting in nature, and thus may not lower public uncertainty. Bundick and Herriford seek to answer the question: do these projections decrease or increase uncertainty about future policy? To answer this question, the authors measure how uncertainty about future interest rates changed after the FOMC began releasing its participants? projections for the appropriate federal funds rate. The authors found that the overall uncertainty about future interest rates decreased after FOMC began releasing its participants? interest rate projections. However, the authors found that public uncertainty is correlated with disagreement across participants? projections. In sum, the findings provide empirical support for the claims of Bernanke and Williams.
AUTHORS: Herriford, Trenton; Bundick, Brent
DATE: 2017

Journal Article
How Does a Rise in International Shipping Costs Affect U.S. Inflation?
Trenton Herriford, Elizabeth M. Johnson, Nicholas Sly, and A. Lee Smith find that an increase in ocean shipping costs leads to a modest boost in core inflation after one year.
AUTHORS: Smith, Andrew Lee; Sly, Nicholas; Johnson, Elizabeth; Herriford, Trenton
DATE: 2016-Dec 1

Journal Article
Examining the Recent Shift in State and Local Pension Plans to Alternative Investments
State and local pension plans have increasingly turned to alternative investments in recent years. The authors found that this shift appears to be across the board; underfunding only partially explains this shift. In addition, they found that switching to alternative investments does not necessarily increase the volatility of returns.
AUTHORS: Herriford, Trenton; Bi, Huixin
DATE: 2017-Sept 30

Journal Article
Does the Recent Decline in Household Longer-Term Inflation Expectations Signal a Loss of Confidence in the FOMC?
Households have lowered their longer-term inflation outlooks, but they appear confident in the FOMC?s ability to achieve stable prices.
AUTHORS: Bundick, Brent; Smith, Andrew Lee; Herriford, Trenton; Pollard, Emily
DATE: 2017-Jun 21

Working Paper
Forward Guidance, Monetary Policy Uncertainty, and the Term Premium
We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using the unexpected changes in this term structure of implied volatility around monetary policy announcements. {{p}} Two principal components succinctly characterize these changes around policy announcements, which have the interpretation as shocks to the level and slope of the term structure of implied interest rate volatility. We find that an unexpected decline in the slope of implied volatility lowers term premia in longer-term bond yields and leads to higher economic activity and inflation. {{p}} Our results suggest that forward guidance about future monetary policy can materially affect bond market term premia, even without large-scale asset purchases.
AUTHORS: Bundick, Brent; Smith, Andrew Lee; Herriford, Trenton
DATE: 2017-07-12

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