ECB monetary policy surprises: Identification through cojumps in interest rates

Arbeitspapier

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB's policy preferences.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2013-038

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; Semiparametric and Nonparametric Methods: General ; Financial Econometrics
• Subject: Central bank communication ; yield curve ; spectral cojump estimator ; high frequency tick-data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Winkelmann, Lars ; Bibinger, Markus ; Linzert, Tobias
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/91584
• Last update: 10.03.2025, 11:41 AM CET