Empirical Studies on Central Banks' Expectations Management:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Nebentitel: Empirische Studien zum Erwartungsmanagement von Zentralbanken |
| Beschreibung: | X, 80 Bl. graph. Darst. |
Internformat
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Datensatz im Suchindex
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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
|
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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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 |
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| 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 |
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