2010-12-21Buch DOI: 10.18452/4290
The Norges Bank’s key rate projections and the news element of monetary policy
a wavelet based jump detection approach
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 projections. The behavior of short-term interest rates reveals that key rate projections have only little effects on market’s forecasting ability of current target rate changes. In contrast, longer-term interest rates indicate that the announcement of key rate projections has significantly reduced market participants’ revisions of the expected future policy path. Therefore, the announcement of key rate projections further improves central bank communication.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 62, SFB 649 Papers, ISSN:1860-5664