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Identifying monetary policy and central bank information shocks using high-frequency exchange rates

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019

This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...

Persistent link: https://www.econbiz.de/10012304714

Managing financial market expectations : the role of central bank transparency and central bank communication

Neuenkirch, Matthias - 2010

In this paper, we study the influence of central bank transparency and informal central bank communication on the money … January 1999 to July 2007. We find, first, that both transparency and communication facilitate understanding upcoming interest … optimal design for central banks as (i) a very high degree of transparency, (ii) frequent communication on an informal basis …

Persistent link: https://www.econbiz.de/10008695544

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2019

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central … composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy …

Persistent link: https://www.econbiz.de/10012896694

Monetary policy announcements and expectations : evidence from German firms

Enders, Zeno; Hünnekes, Franziska; Müller, Gernot J. - 2019

We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms...

Persistent link: https://www.econbiz.de/10012159806

Information effects of US monetary policy announcements on emerging economies : evidence from Mexico

Alba, Carlos; Carrillo, Julio A.; Ibarra-Ramírez, Raúl - 2024

This paper analyzes, using a VAR model, the effects of US central bank monetary policy announcements, and information shocks from this authority regarding its economic outlook on Mexican financial and macroeconomic variables. Shocks are identified by combining a high-frequency strategy with sign...

Persistent link: https://www.econbiz.de/10015069701

Transparency, Disclosure and the Federal Reserve

Ehrmann, Michael; Fratzscher, Marcel - 2021

to revert to other types of Fed communication in the inter-meeting periods, and come to their own assessment of the …

Persistent link: https://www.econbiz.de/10013318680

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

Using Federal Funds Futures Contracts for Monetary Policy Analysis

Gürkaynak, Refet S. - 2005

Federal funds futures are popular tools for calculating market-based monetary policy surprises. These surprises are usually thought of as the difference between expected and realized federal funds target rates at the current FOMC meeting. This paper demonstrates the use of federal funds futures...

Persistent link: https://www.econbiz.de/10014062144

Market-Implemented Monetary Policy with Open Mouth Operations

Wright, Julian; Guthrie, Graeme A. - 1998

are drawn for research in other areas, in particular the news approach to exchange rate modeling, the expectations theory …

Persistent link: https://www.econbiz.de/10014064148

Monetary policy announcements and sacrifice ratios

Ambrocio, Gene; Haavio, Markus; McClung, Nigel - 2024

We show that sacrifice ratios associated with announcements of the most likely course of monetary policy are lower when the implementation date is further out into the future in the basic New Keynesian framework. This is not due to forward guidance puzzle effects and holds even when agents’...

Persistent link: https://www.econbiz.de/10015110677