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Monetary policy predictability in the Euro area: an international comparison
[journal article]
Abstract We evaluate the ability of market participants to anticipate monetary policy decisions in 14 countries. First, by looking at both magnitude and volatility of changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the pr... view more
We evaluate the ability of market participants to anticipate monetary policy decisions in 14 countries. First, by looking at both magnitude and volatility of changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of FED, Bank of England and ECB is fully comparable. Finally, an econometric analysis of the ability of market participants to incorporate in the current short-term interest rates the expected policy changes shows that in the Euro area (and in other countries) policy decisions are anticipated well in advance.... view less
Classification
Political Economy
Economic Policy
Free Keywords
Monetary policy; Predictability; Money market rates
Document language
English
Publication Year
2010
Page/Pages
25 p.
Journal
Applied Economics (2010)
DOI
https://doi.org/10.1080/00036840903299714
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)