Monetary policy predictability in the Euro area: an international comparison

Journal article | Zeitschriftenartikel

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.

Object Details

• Extent: Seite(n): 25
• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Applied Economics

Classification and Topics

• Subject: Wirtschaft ; Wirtschaftspolitik ; Volkswirtschaftslehre

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Zaghini, Andrea ; Wilhelmsen, Bjørn-Roger
• Event: Veröffentlichung
• (where): Vereinigte Staaten von Amerika
• (when): 2010

Further information

• DOI: https://doi.org/10.1080/00036840903299714
• URN: urn:nbn:de:0168-ssoar-250174
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:26 PM CEST