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2010-12-21Diskussionspapier DOI: 10.18452/4290
The Norges Bank’s key rate projections and the news element of monetary policy
dc.contributor.authorWinkelmann, Lars
dc.date.accessioned2017-06-16T00:15:57Z
dc.date.available2017-06-16T00:15:57Z
dc.date.created2011-04-06
dc.date.issued2010-12-21
dc.date.submitted2010-12-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4942
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectCentral bank communicationeng
dc.subjectinterest rate projectionseng
dc.subjectwaveletseng
dc.subjectjump probabilitieseng
dc.subject.ddc330 Wirtschaft
dc.titleThe Norges Bank’s key rate projections and the news element of monetary policy
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100185114
dc.identifier.doihttp://dx.doi.org/10.18452/4290
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2010
dc.title.subtitlea wavelet based jump detection approach
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2010,62

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