Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data

Konferenzbeitrag

Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are due to central bank information effects. That is, ECB announcements convey information not only about monetary policy, but also about economic fundamentals. I separate these "information shocks" from "pure policy shocks" via sign restrictions and find intuitive effects of both shocks on a wide set of financial market prices, survey expectations and macroeconomic aggregates.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Monetary Policy IV ; No. C10-V1

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Financial Markets and the Macroeconomy ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Monetary Policy ; High-Frequency Identification ; Central Bank Information

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kerssenfischer, Mark
• Event: Veröffentlichung
• (who): ZBW - Leibniz-Informationszentrum Wirtschaft
• (where): Kiel, Hamburg
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/203524
• Last update: 10.03.2025, 11:41 AM CET