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2013-08-29Diskussionspapier DOI: 10.18452/4478
EBC monetary policy surprises
dc.contributor.authorWinkelmann, Lars
dc.contributor.authorBibinger, Markus
dc.contributor.authorLinzert, Tobias
dc.date.accessioned2017-06-16T00:53:59Z
dc.date.available2017-06-16T00:53:59Z
dc.date.created2013-09-09
dc.date.issued2013-08-29
dc.date.submitted2013-08-29
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5130
dc.description.abstractThis 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 policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB’s policy preferences.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.subjectyield curveeng
dc.subjectspectral cojump estimatoreng
dc.subjecthigh frequency tick-dataeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleEBC monetary policy surprises
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100212388
dc.identifier.doihttp://dx.doi.org/10.18452/4478
local.edoc.pages28
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2013
dc.title.subtitleidentification throug cojumps in interest rates
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2013,38

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