Market Predictability of ECB Monetary Policy Decisions: A Comparative Examination
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...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2002
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 02/233 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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. Against this background, this paper examines the ability of financial markets to correctly anticipate these three central bank policy decisions over the first 31⁄2 years of the ECB. The paper relies on calculations that market participants employ in anticipating policy changes and on term structure regressions that provide ex post evidence of market surprises. While the results suggest that all three central banks are broadly predictable, markets have had difficulty anticipating large changes and cuts in ECB policy interest rates. These surprises may be tied to the large number of policy meetings, particular characteristics of the EONIA money market, and the unique circumstances of the ECB. An added factor may be the absence of a consistent policy on communicating the current stance-if any-of the ECB''s policy bias on the future direction of interest rates |
| Beschreibung: | 1 Online-Ressource (26 p) |
| ISBN: | 1451875606 9781451875607 |
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| 520 | 3 | |a 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. Against this background, this paper examines the ability of financial markets to correctly anticipate these three central bank policy decisions over the first 31⁄2 years of the ECB. The paper relies on calculations that market participants employ in anticipating policy changes and on term structure regressions that provide ex post evidence of market surprises. While the results suggest that all three central banks are broadly predictable, markets have had difficulty anticipating large changes and cuts in ECB policy interest rates. These surprises may be tied to the large number of policy meetings, particular characteristics of the EONIA money market, and the unique circumstances of the ECB. An added factor may be the absence of a consistent policy on communicating the current stance-if any-of the ECB''s policy bias on the future direction of interest rates | |
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| index_date | 2024-07-03T20:13:25Z |
| indexdate | 2024-07-10T09:35:33Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Ross, Kevin Verfasser aut Market Predictability of ECB Monetary Policy Decisions A Comparative Examination Ross, Kevin Washington, D.C International Monetary Fund 2002 1 Online-Ressource (26 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/233 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. Against this background, this paper examines the ability of financial markets to correctly anticipate these three central bank policy decisions over the first 31⁄2 years of the ECB. The paper relies on calculations that market participants employ in anticipating policy changes and on term structure regressions that provide ex post evidence of market surprises. While the results suggest that all three central banks are broadly predictable, markets have had difficulty anticipating large changes and cuts in ECB policy interest rates. These surprises may be tied to the large number of policy meetings, particular characteristics of the EONIA money market, and the unique circumstances of the ECB. An added factor may be the absence of a consistent policy on communicating the current stance-if any-of the ECB''s policy bias on the future direction of interest rates Online-Ausg http://elibrary.imf.org/view/IMF001/04536-9781451875607/04536-9781451875607/04536-9781451875607.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ross, Kevin Market Predictability of ECB Monetary Policy Decisions A Comparative Examination |
| title | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination |
| title_auth | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination |
| title_exact_search | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination |
| title_exact_search_txtP | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination |
| title_full | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination Ross, Kevin |
| title_fullStr | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination Ross, Kevin |
| title_full_unstemmed | Market Predictability of ECB Monetary Policy Decisions A Comparative Examination Ross, Kevin |
| title_short | Market Predictability of ECB Monetary Policy Decisions |
| title_sort | market predictability of ecb monetary policy decisions a comparative examination |
| title_sub | A Comparative Examination |
| url | http://elibrary.imf.org/view/IMF001/04536-9781451875607/04536-9781451875607/04536-9781451875607.xml |
| work_keys_str_mv | AT rosskevin marketpredictabilityofecbmonetarypolicydecisionsacomparativeexamination |