Market predictability of ECB monetary policy decisions

a comparative examination by Kevin Ross

Publisher: International Monetary Fund, European I Department in [Washington, D.C.]

Written in English
Published: Pages: 26 Downloads: 746
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Subjects:

  • European Central Bank.,
  • Banks and banking, Central -- European Union countries.,
  • Interest rates -- Forecasting -- European Union countries -- Econometric models.,
  • Monetary policy -- Forecasting -- European Union countries -- Econometric models.

Edition Notes

StatementKevin Ross.
GenreEconometric models.
SeriesIMF working paper -- WP/02/233
ContributionsInternational Monetary Fund. European I Dept.
The Physical Object
Pagination26 p. :
Number of Pages26
ID Numbers
Open LibraryOL21738567M

Abstract. The rule versus discretion debate is used frequently to shed light on monetary policy, in particular to contrast the strategies of the ECB and the Fed: the ECB is rule-based, while the Fed is discretionary. This approach is irrelevant, because both central banks reject opposition as a misperception of their strategy. We also believe that this debate is no longer by: 4. First, we examine the impact of ECB monetary policy surprises on stock prices since the start of the common monetary policy. Second, we distinguish between the impact of unexpected conventional and unconventional monetary policy decisions and show that both conventional and unconventional monetary policy surprises affect the EURO STOXX 50 by: Communication of monetary policy decisions by central banks: what is revealed and why1 Serge Jeanneau 1. Introduction and summary Central banks around the world have done much in recent years to refine the way they communicate their assessments of economic conditions and their decisions relating to the stance of monetary by: The ECB of course is operating a less extreme version of this set-up. Hence, it is for example very clear that the ECB’s monetary policy decisions in the coming months will dependent on the outcome of the Greek elections and on the Spanish government’s fiscal policy decisions.

Market reaction has been relatively subdued. The euro weakened about ppts against the dollar once the initial press release was posted but has retraced losses at the time of writing. The yr German bund yield has held fairly steady this morning. Key Implications. Today's monetary policy announcements by the ECB were largely unsurprising. Second, this study complements existing evidence of the financial market impact of the ECB’s monetary policy decisions and communication. We provide first evidence of news about 7 ECB Working Paper Series No July Evidence from Traditional versus New Monetary Policy Episodes. Central Bank of the Republic of Turkey Working Paper, No: 13/ Patelis, A. D. (). Stock Return Predictability and the Role of Monetary Policy. Journal of Finance, 52 (5), – Rigobon, R., & Sack, B. (). Measuring the Reaction of Monetary Policy to the Stock Market.   The comments come one day before the ECB is set to announce its monetary policy decision. Economists said they expect the ECB to announce how it intends to unwind its large-scale bond-buying program.

the effects of monetary policy in the presence of nominal rigidities exploring two realistic departures from standard benchmark models. First, we depart from the representative agent or complete market assumption by considering, instead, heterogeneous agents and financial market imperfections, including both incomplete insurance and borrowing con-File Size: KB. At its monetary policy meeting held on December 12th, the Governing Council of the European Central Bank (ECB) decided to leave the interest rates on the main refinancing operations and the. Forecasting European Central Bank Monetary Policy (with Helge Berger and Michael Ehrmann), IMF Survey, 35(13), July Exchange-rate regimes and debt-maturity structure (with M. Bussiere and W. Koeniger), International Monetary Fund: 60 Years After Bretton Woods, IMF volume of international symposium of June Monetary Policy and the Stock Market: Time-Series Evidence Andreas Neuhierly Michael Weberz This version: November Abstract We construct a slope factor from changes in federal funds futures of di erent horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns.

Market predictability of ECB monetary policy decisions by Kevin Ross Download PDF EPUB FB2

Downloadable. Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions.

At the same time, these surveys of financial market participants have given relatively high marks to the United States Federal Reserve and the Bank of England on their ability to be understood by financial markets.

Get this from a library. Market predictability of ECB monetary Market predictability of ECB monetary policy decisions book decisions: a comparative examination. [Kevin Ross; International Monetary Fund. European I Department.] -- Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions.

At the same time, these surveys of financial market. Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions.

At the same time, these surveys of financial market participants have given relatively high marks to the United States Federal Reserve and the Bank of England on their ability to be understood by financial by: Get this from a library.

Market Predictability of ECB Policy Decisions: a Comparative Examination. [Kevin Ross] -- Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions.

At the same time, these surveys of financial market. The fourth chapter explains how the Eurosystem implements monetary policy decisions using its monetary policy instruments. The fifth chapter concludes with an illustration of how monetary policy has been conducted in the euro area since The book can be downloaded in electronic form from the ECB’s website.

Downloadable. Current best practice in central banking views a high level of monetary policy predictability as desirable. A clear distinction, however, has to be made between short-term and longer-term predictability.

While short-term predictability can be narrowly defined as the ability of the public to anticipate monetary policy decisions correctly over short horizons, the broader Cited by:   Monetary Policy Decisions 8 December At today’s meeting the Governing Council of the ECB decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending facility and the deposit facility will remain unchanged at %, % and.

Title: Market Predictability of ECB Monetary policy Decisions: A Comparative Ex amination - WP/02/ Created Date: 1/13/ PMCited by: The monetary policy decisions of the ECB and the money market Vítor Gaspar, European Central Bank, Gabriel Perez-Quirós, Bank of Spain and Jorge Sicilia, European Central Bank1 1.

Introduction The Eurosystem’s operational framework provides the key link between the ECB’s monetary policy strategy2 and the money market. The operational. See also “The predictability of the ECB’s monetary policy” 2 published in the January issue of the ECB Monthly Bulletin for a related, albeit more condensed, analysis.

Our results suggest that the ECB communication of monetary policy has worked well during the first years of EMU and that the predictability of ECB policy decisions seems to have improved over time.

As published on : "7 September " "At today’s meeting the Governing Council of the ECB decided that the interest rate on the main refinancing operations and the interest.

After a detailed description and assessment of ECB monetary policy making that focuses on such issues as price stability and the predictability of policy decisions, the book turns to two important issues faced by European central bankers: the transparency and credibility of decision making and the ECB's decentralized by: The European Central Bank: Credibility, Transparency, and Centralization (CESifo Book Series) - Kindle edition by de Haan, Jakob, Sylvester C.

Eijffinger, Sandra Waller. Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading The European Central Bank: Credibility, Transparency, and Centralization 1/5(1).

Second, we extend existing evidence of the financial market impact of the ECB’s mon-etary policy decisions and communication in a number of dimensions. We provide first evidence of news about ECB monetary policy using multidimensional indicators, result-ing in a richer description of news about monetary policy compared to studies that focus.

14 June At today’s meeting, which was held in Riga, the Governing Council of the ECB undertook a careful review of the progress towards a sustained adjustment in the path of inflation, also taking into account the latest Eurosystem staff macroeconomic projections, measures of price and wage pressures, and uncertainties surrounding the inflation : Industryspread.

At today’s meeting the Governing Council of the ECB decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending facility and the deposit facility will remain unchanged at %, % and % respectively. The Governing Council continues to expect the key ECB interest rates to remain at present or lower levels for an extended period of.

Summary of our analysis of the decisions announced after the ECB monetary policy meeting on 10 March: After announcing measures that fell short of market’s expectations at the monetary policy meeting in December, the ECB went for a big-bang approach on 10 March.

At today’s meeting the Governing Council of the ECB decided that the interest rate on the main re. The Impact of ECB Monetary Policy Decisions and Communication in the euro area money market yield curve on European Central Bank (ECB) Governing Council meeting days into news related to the level (and timing) of the and to study the implications for the predictability of monetary policy.

There are evident shortcomings to such. This paper examines whether monetary data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy.

It conducts a novel econometric approach based on a combination of an Ordered Probit model explaining future policy rate changes (sample to ) and the Vuong Author: Alexander C. Jung. ECB – Monetary policy summary June Dean has played an instrumental role in driving awareness of the forex market as an emerging asset.

ECB monetary policy decisions News News Thursday 7 SeptemberPM At today’s meeting the Governing Council of the ECB decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending facility and the deposit facility will remain unchanged at %, % and % respectively.

Monetary Policy and the Predictability of Nominal Exchange Rates Martin Eichenbaum Benjamin K. Johannsen Sergio Rebelo June Abstract This paper studies how the monetary policy regime a ects the relative importance of nominal exchange rates and in ation rates in shaping the response of real exchange rates to shocks.

We document two facts. Monetary policy involves decisions by central banks on issues such as interest rates. Fiscal policy typically is established legislatively and addresses issues such as tax rates and government Author: Troy Segal.

1 See European Central Bank 'The monetary policy of the ECB'. 2 A premium in this case is an investment return in addition to the nominal value of the asset. 3 Nominal assets have value expressed in monetary terms for a specific year or years, without adjusting for inflation (a s opposed to real value).File Size: KB.

Today’s monetary policy decisions maintain the current ample degree of monetary accommodation that will ensure the continued sustained convergence of inflation towards levels that are below, but Author: European Central Bank.

to anticipate monetary policy decisions, given the increased public availability of information about how monetary policy decisions are taken. A well functioning money market is essential for conducting indirect, market-based monetary policy operations and for providing the necessary liquidity for a market in government and corporate Size: KB.

Vol. 11 No. 4 The ECB Unconventional Monetary Policies 95 able to capture the significant impact of the ECB sovereign asset purchases on bank borrowing cost, which might be explained by the sovereign-banking nexus in the euro zone. This finding has important policy implications. First, the ECB.

This is my big hero David Laidler in his book The Market Monetarist position – at least as I think of it – is that the Fed and the ECB should “emulate” a free banking outcome and ensure that any increase in money demand is met by an increase in the money base.

The blogoshere is full of debates about US monetary policy and the. ECB press release 14 June At today’s meeting, which was held in Riga, the Governing Council of the ECB undertook a careful review of the progress towards a sustained adjustment in the path of inflation, also taking into account the latest Eurosystem staff macroeconomic projections, measures of price and wage pressures, and uncertainties surrounding the inflation outlook.At today's meeting the Governing Council of the ECB took the following monetary policy decisions: (1) The interest rate on the main refinancing operations and the interest rates on the marginal Author: European Central Bank.money market participants have anticipated the monetary policy decisions taken by the ECB.

To do so, the paper analyses whether the announcements of monetary policy decisions to maintain or change interest rates impact on the stochastic behaviour of interest rates.