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Interest rate expectations and uncertainty during ECB governing council days : evidence from intraday implied densities of 3-month Euribor
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011
. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …
Persistent link: https://www.econbiz.de/10009380949
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Interest Rate Expectations and Uncertainty During ECB Governing Council Days : Evidence From Intraday Implied Densities of 3-Month EURIBOR
Vergote, Olivier - 2011
. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days …
Persistent link: https://www.econbiz.de/10013119936
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Macroeconomic and Interest Rate Volatility Under Alternative Monetary Operating Procedures
Gerlach, Petra - 2013
During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. We consider three monetary...
Persistent link: https://www.econbiz.de/10013094188
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2016
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update...
Persistent link: https://www.econbiz.de/10011517131
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Volatility, Money Market Rates, and the Transmission of Monetary Policy
Carpenter, Seth B. - 2011
Central banks typically control an overnight interest rate as their policy tool, and the transmission of monetary policy happens through the relationship of this overnight rate to the rest of the yield curve. The expectations hypothesis, that longer-term rates should equal expected future...
Persistent link: https://www.econbiz.de/10013124991
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Persistence and Volatility in Short-Term Interest Rates
Panigirtzoglou, Nikolaos; Proudman, James; Spicer, John - 2005
It is important for monetary policy makers to know how closely money market rates follow the policy rates they set. This paper looks at the volatility and persistence of divergences between short-term market interest rates away from policy rates. This may also offer insights into the...
Persistent link: https://www.econbiz.de/10014152269
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe - 2010
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10013149808
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Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana
Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10012167220
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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
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Measuring the natural rate of interest after COVID-19
Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023
We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area...
Persistent link: https://www.econbiz.de/10014302828