We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip professionals’ revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision predicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimates of monetary policy effects on the economy. First, the Fed’s information effect dissipates as the truly unpredictable policy news shock does not affect professionals’ beliefs about the economy. Second, net policy shock has a more negative impact on actual future GDP than the raw policy shock.

我们发现，随着联邦公开市场委员会 (FOMC) 会议前蓝筹股专业人士对 GDP 增长预测的修正，债券收益率在预定的联邦公开市场委员会 (FOMC) 公告前后的 30 分钟变化是可以预测的。FOMC 前的正 GDP 增长修正预示着紧缩性政策新闻冲击（债券收益率的正变化），负 GDP 增长修正预示着扩张性政策新闻冲击（债券收益率的负变化）。未能考虑到这种可预测性会使货币政策对经济影响的估计产生偏差。首先，美联储的信息效应消散，因为真正不可预测的政策新闻冲击不会影响专业人士对经济的信念。其次，与原始政策冲击相比，净政策冲击对实际未来 GDP 的负面影响更大。