The Forward Guidance factor from Swanson's (2021) three-factor decomposition of high-frequency FOMC surprises, the direct extension of the original "path" factor in Gurkaynak, Sack, and Swanson (2005). Event-level factor values are summed within calendar months; months with no scheduled FOMC meeting are coded as zero.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. GSS path factor, percentage points.- series
character. Series identifier"gss_path".
Source
Swanson, E. T. (2021). "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets." Journal of Monetary Economics 118: 32-53. doi:10.1016/j.jmoneco.2020.09.003 . Data: https://sites.socsci.uci.edu/~swanson2/.
Details
See gss_target for identification, rotation sensitivity, and aggregation details; the same caveats apply to both factors since they come from a joint rotation.
Regime coverage. The path factor picks up forward-guidance surprises and is the most informative Swanson factor during the zero-lower-bound period (2009 to 2015). Its variance rises sharply in that window relative to the pre-ZLB sample, consistent with forward guidance becoming the dominant policy tool.