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The information content of central bank interest rate projections: Evidence from New Zealand

Detmers, Gunda-Alexandra; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

The Reserve Bank of New Zealand (RBNZ) has been the first central bank that began to publish interest rate projections in order to improve its guidance of monetary policy. This paper provides new evidence on the role of interest rate projections for market expectations about future shortterm...

Persistent link: https://www.econbiz.de/10009131630

The Norges Bank’s key rate projections and the news element of monetary policy: a wavelet based jump detection approach

Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper investigates the information content of the Norges Bank’s key rate projections. Wavelet spectrum estimates provide the basis for estimating jump probabilities of short- and long-term interest rates on monetary policy announcement days before and after the introduction of key rate...

Persistent link: https://www.econbiz.de/10008765723

Stale Forward Guidance

Detmers, Gunda-Alexandra; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

An increasing number of central banks manage market expectations via interest rate projections. Typically, those projections are updated only quarterly and thus, may become stale when new information enters the market. We use data from New Zealand to investigate the time-varying and...

Persistent link: https://www.econbiz.de/10010772308

Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -

Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...

Persistent link: https://www.econbiz.de/10010638884

ECB monetary policy surprises: identification through cojumps in interest rates

winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

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/10011277280

Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?

Schmidt, Sandra; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover...

Persistent link: https://www.econbiz.de/10008568493

The ‘Celtic Crisis’: Guarantees, transparency, and systemic liquidity risk

König, Philipp; Anand, Kartik; Heinemann, Frank - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

transparency. We explain the asymmetry in risk-transfer between sovereign and banking sector, following the introduction of a …

Persistent link: https://www.econbiz.de/10011277274

Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises

Gründl, Helmut; Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007 …–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market … considerably enhance transparency in securitization transactions at the expense of some transaction costs, while reducing the need …

Persistent link: https://www.econbiz.de/10005207947