ABSTRACT This paper studies the information value of immediate disclosure of the FOMC policy directive. The value of disclosure is measured by its ability to reduce investors' expected uncertainty about futures interest rates where uncertainty is defined as the conditional variance of forecast errors. Analytical relationships between new information and the conditional variance of forecast errors are developed and the relation of the “uncertainty‐reducing” value of information to its social value, as defined in recent literature, is indicated. In the empirical work, forward interest rates are treated as reflecting market expectations conditioned on existing information. The empirical tests indicate that information in the undisclosed, prevailing policy directives (1974–79) were able to make only a very marginal improvement in the predictive accuracy of forecasts relying only on the forward rates. Thus, the hypothesis that immediate disclosure has a significant information value to market participants is not supported.

ABSTRACT In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value‐at‐Risk (VaR) forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value‐at‐Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use.