Arbeitspapier
Does ECB communication help in predicting its interest rate decisions?
We examine the usefulness of communication by the European Central Bank for predicting its interest rate decisions. We use ordered probit models based on the Taylor rule which we estimate using statements by ECB officials as well as macroeconomic variables. Statements by ECB officials on the main refinancing rate and future inflation are significantly related to ECB decisions. However, an out-of-sample evaluation shows that communication-based models do not outperform models based on macroeconomic data in predicting decisions. Both sets of models only accurately predict decisions to leave interest rates unchanged.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 1804
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
- Event
-
Geistige Schöpfung
- (who)
-
Jansen, David-Jan
de Haan, Jakob
Schaltegger, Christoph A.
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2006
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jansen, David-Jan
- de Haan, Jakob
- Schaltegger, Christoph A.
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2006
Other Objects (12)
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
An Interest Stabilisation Mechanism to Unburden the ECB
Interest rate setting and communication at the ECB
An Interest Stabilisation Mechanism to Unburden the ECB
How the ECB and US Fed set interest rates
How the ECB and US Fed set interest rates
Investment decisions and negative interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
Manual on MFI interest rate statistics : regulation ECB 2001/18
ECB monetary policy surprises: Identification through cojumps in interest rates
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
An Interest Stabilisation Mechanism to Unburden the ECB
Interest rate setting and communication at the ECB
An Interest Stabilisation Mechanism to Unburden the ECB
How the ECB and US Fed set interest rates
How the ECB and US Fed set interest rates
Investment decisions and negative interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
Manual on MFI interest rate statistics : regulation ECB 2001/18
ECB monetary policy surprises: Identification through cojumps in interest rates
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union
An Interest Stabilisation Mechanism to Unburden the ECB
Interest rate setting and communication at the ECB
An Interest Stabilisation Mechanism to Unburden the ECB
How the ECB and US Fed set interest rates
How the ECB and US Fed set interest rates
Investment decisions and negative interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
ECB monetary policy surprises: identification through cojumps in interest rates
Manual on MFI interest rate statistics : regulation ECB 2001/18