Information effects of euro area monetary policy: New evidence from high-frequency futures data

Arbeitspapier

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. 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 and survey measures of economic expectations.

Angaben zum Objekt

• ISBN: 978-3-95729-560-6
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Deutsche Bundesbank Discussion Paper ; No. 07/2019

Klassifikation und Themen

• Klassifikation: 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
• Thema: Monetary Policy ; High-Frequency Identification ; Central Bank Information

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kerssenfischer, Mark
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/193033
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ