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Gauging the effectiveness of quantitative forward guidance: evidence from three inflation targeters

Andersson, Magnus; Hofmann, Boris - European Central Bank - 2009

This paper conducts a comparative analysis of the performances of the forward guidance strategies adopted by the Reserve Bank of New Zealand, the Norges Bank and the Riksbank, with the aim to gauge whether forward guidance via publication of an own interest rate path enhances a central bank’s...

Persistent link: https://www.econbiz.de/10008477228

The role of central bank transparency for guiding private sector forecasts

Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - European Central Bank - 2010

expectations. This paper analyses empirically whether enhanced central bank transparency lowers dispersion among professional … forecasters of key economic variables, using a large set of proxies for central bank transparency in 12 advanced economies. It … finds evidence for a significant and sizeable effect of central bank transparency on forecast dispersion, be it by means of …

Persistent link: https://www.econbiz.de/10008545908

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - European Central Bank - 2011

This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In particular, the non-parametric estimator of these...

Persistent link: https://www.econbiz.de/10009367481

A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks

Bussière, Matthieu; Stracca, Livio - European Central Bank - 2010

Periods of economic and financial stress traditionally give rise to profound changes in economic theory and in the way policy decisions are taken. Motivated by the recent interest in renewing macroeconomics after the global financial crisis, we collected the views of senior central bank staff in...

Persistent link: https://www.econbiz.de/10008694056

Central bank communication on fiscal policy

Allard, Julien; Catenaro, Marco; Vidal, Jean-Pierre; … - European Central Bank - 2012

While the established literature on central bank communication has traditionally dealt with communication of monetary policy messages to financial markets and the wider public, central bank communication on fiscal policy has so far received little attention. This paper empirically reviews the...

Persistent link: https://www.econbiz.de/10010686812

ECB monetary policy surprises: identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - European Central Bank - 2014

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

Persistent link: https://www.econbiz.de/10011067262

The impact of ECB monetary policy decisions and communication on the yield curve

Brand, Claus; Buncic, Daniel; Turunen, Jarkko - European Central Bank - 2006

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The...

Persistent link: https://www.econbiz.de/10005530883

Detecting and interpreting financial stress in the euro area

Blix Grimaldi, Marianna - European Central Bank - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10008550447

The predictability of monetary policy.

Blattner, Tobias; Catenaro, Marco; Ehrmann, Michael; … - European Central Bank - 2008

Current best practice in central banking views a high level of monetary policy predictability as desirable. A clear distinction, however, has to be made between short-term and longer-term predictability. While short-term predictability can be narrowly defined as the ability of the public to...

Persistent link: https://www.econbiz.de/10005344797

How much does the public know about the ECB's monetary policy? Evidence from a survey of Dutch households

van der Cruijsen, Carin; Jansen, David-Jan; de Haan, Jakob - European Central Bank - 2010

Does the general public know what central banks do? Is this kind of knowledge relevant? Using a survey of Dutch households, we investigate these questions for the case of the European Central Bank (ECB). Our findings suggest that knowledge on the ECB’s objectives is far from perfect. Both a...

Persistent link: https://www.econbiz.de/10008694054