Holdings: Empirical Studies on Central Banks' Expectations Management

Empirical Studies on Central Banks' Expectations Management:

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Bibliographic Details
Main Author:	Winkelmann, Lars (Author)
Format:	Thesis Book
Language:	English
Published:	2013
Subjects:	Rationale Erwartung Kommunikationsstrategie Geldpolitik Notenbank Aufsatzsammlung Hochschulschrift
Online Access:	Volltext Inhaltsverzeichnis
Item Description:	Nebentitel: Empirische Studien zum Erwartungsmanagement von Zentralbanken
Physical Description:	X, 80 Bl. graph. Darst.

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MARC


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adam_text	IMAGE 1 CONTENTS GENERAL INTRODUCTION AND RESULTS IV ALLGEMEINE EINLEITUNG UND RESULTATE VII 1 QUANTITATIVE FORWARD GUIDANCE AND THE PREDICTABILITY OF MONE TARY POLICY: A WAVELET BASED JUMP DETECTION APPROACH 1 1.1 INTRODUCTION 1 1.2 MONETARY POLICY GUIDANCE: THE NORWEGIAN EXAMPLE 4 1.3 TARGET AND PATH SURPRISES 6 1.4 ECONOMIC HYPOTHESES 8 1.5 METHODOLOGY 10 1.5.1 SEMIMARTINGALES AND LOCALLY STATIONARY WAVELET PROCESSES . 10 1.5.2 JUMP LOCALIZATION ON WAVELET SPECTRUM ESTIMATES 12 1.5.3 JUMP PROBABILITIES 14 1.6 EMPIRICAL RESULTS 14 1.6.1 WAVELET SPECTRA OF NORWEGIAN INTEREST RATES 14 1.6.2 QUANTITATIVE GUIDANCE AND MONETARY POLICY SURPRISES .... 16 HTTP://D-NB.INFO/1042923930 IMAGE 2 CONTENTS II 1.7 CONCLUSION 19 L.A EVALUATION OF JUMP CLAYS 21 1.B ROBUSTNESS ANALYSIS 21 2 ECB MONETARY POLICY SURPRISES: IDENTIFICATION THROUGH COJUMPS IN INTEREST RATES 23 2.1 INTRODUCTION 23 2.2 SOURCES OF POLICY SURPRISES AND THE YIELD CURVE 26 2.3 YIELD CURVE DATA 29 2.3.1 TICK-DATA 29 2.3.2 THE ROLE OF MICROSTRUCTURE NOISE 31 2.4 METHODOLOGY: DETECTION OF LEVEL SHIFTS AND ROTATIONS OF THE YIELD CURVE 32 2.4.1 NON-PARAMETRIC VOLATILITY MODEL 33 2.4.2 SPECTRAL ESTIMATOR OF COJUMPS 34 2.4.3 THE TEST FOR LEVEL SHIFTS AND ROTATIONS 36 2.5 EMPIRICAL EVIDENCE: SHIFTS AND ROTATIONS ON ECB POLICY ANNOUNCE MENT DAYS 38 2.5.1 DAY-WISE TESTS 38 2.5.2 INTRADAY RESPONSE PATTERNS 41 2.5.2.1 LOCALIZATION 41 2.5.2.2 THE LINK TO SURVEY EXPECTATIONS 43 2.6 CONCLUSION 44 2.A EXAMPLES OF LEVEL SHIFTS AND ROTATIONS 46 IMAGE 3 CONTENTS HI 3 ASSESSING THE ANCHORING OF INFLATION EXPECTATIONS 48 3.1 INTRODUCTION 48 3.2 ASSESSING THE DEGREE OF ANCHORING 51 3.3 BREAK-EVEN INFLATION RATES 53 3.4 EMPIRICAL RESULTS ON THE ANCHORING OF INFLATION EXPECTATIONS .... 56 3.4.1 STRENGTH AND LEVEL OF THE ANCHOR 56 3.4.2 IMPULSE RESPONSE ANALYSIS 59 3.5 CONCLUSION 62 3.A TERM STRUCTURE ESTIMATION 64 3.B ESTAR SPECIFICATION TESTS 65 3.C NEWS VARIABLES 66 3.C.1 NEWS DATA 66 3.C.2 ESTIMATION RESULTS FOR NEWS VARIABLES 67 3.D GENERALIZED IMPULSE RESPONSE AND A-LIFE 69 BIBLIOGRAPHY 70
any_adam_object	1
author	Winkelmann, Lars
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dewey-ones	332 - Financial economics
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dewey-search	332.11
dewey-sort	3332.11
dewey-tens	330 - Economics
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spelling	Winkelmann, Lars Verfasser aut Empirical Studies on Central Banks' Expectations Management vorgelegt von Lars Winkelmann Empirische Studien zum Erwartungsmanagement von Zentralbanken 2013 X, 80 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Nebentitel: Empirische Studien zum Erwartungsmanagement von Zentralbanken Berlin, Freie Univ., Diss., 2013 Rationale Erwartung (DE-588)4121553-9 gnd rswk-swf Kommunikationsstrategie (DE-588)4201794-4 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Notenbank (DE-588)4042669-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Notenbank (DE-588)4042669-5 s Geldpolitik (DE-588)4019902-2 s Kommunikationsstrategie (DE-588)4201794-4 s Rationale Erwartung (DE-588)4121553-9 s DE-188 Erscheint auch als Online-Ausgabe urn:nbn:de:kobv:188-fudissthesis000000094564-3 http://www.diss.fu-berlin.de/diss/receive/FUDISS_thesis_000000094564 kostenfrei Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026085557&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Winkelmann, Lars Empirical Studies on Central Banks' Expectations Management Rationale Erwartung (DE-588)4121553-9 gnd Kommunikationsstrategie (DE-588)4201794-4 gnd Geldpolitik (DE-588)4019902-2 gnd Notenbank (DE-588)4042669-5 gnd
subject_GND	(DE-588)4121553-9 (DE-588)4201794-4 (DE-588)4019902-2 (DE-588)4042669-5 (DE-588)4143413-4 (DE-588)4113937-9
title	Empirical Studies on Central Banks' Expectations Management
title_alt	Empirische Studien zum Erwartungsmanagement von Zentralbanken
title_auth	Empirical Studies on Central Banks' Expectations Management
title_exact_search	Empirical Studies on Central Banks' Expectations Management
title_full	Empirical Studies on Central Banks' Expectations Management vorgelegt von Lars Winkelmann
title_fullStr	Empirical Studies on Central Banks' Expectations Management vorgelegt von Lars Winkelmann
title_full_unstemmed	Empirical Studies on Central Banks' Expectations Management vorgelegt von Lars Winkelmann
title_short	Empirical Studies on Central Banks' Expectations Management
title_sort	empirical studies on central banks expectations management
topic	Rationale Erwartung (DE-588)4121553-9 gnd Kommunikationsstrategie (DE-588)4201794-4 gnd Geldpolitik (DE-588)4019902-2 gnd Notenbank (DE-588)4042669-5 gnd
topic_facet	Rationale Erwartung Kommunikationsstrategie Geldpolitik Notenbank Aufsatzsammlung Hochschulschrift
url	http://www.diss.fu-berlin.de/diss/receive/FUDISS_thesis_000000094564 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026085557&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT winkelmannlars empiricalstudiesoncentralbanksexpectationsmanagement AT winkelmannlars empirischestudienzumerwartungsmanagementvonzentralbanken

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