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Monetary policy predictability in the Euro area: an international comparison
[Zeitschriftenartikel]
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... mehr
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.... weniger
Klassifikation
Volkswirtschaftslehre
Wirtschaftspolitik
Freie Schlagwörter
Monetary policy; Predictability; Money market rates
Sprache Dokument
Englisch
Publikationsjahr
2010
Seitenangabe
25 S.
Zeitschriftentitel
Applied Economics (2010)
DOI
https://doi.org/10.1080/00036840903299714
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)