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Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?

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  • Alexander Jung

Abstract

This paper examines whether money and credit 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, as suggested by El†Shagi and Jung (Eur J Polit Econ 39:222–234, 2015), based on a combination of an Ordered Probit model explaining future policy rate changes (sample 2000–2014) and the Vuong test for model selection. Overall, our empirical results support the view that information contained in money and credit aggregates is used by markets when assessing forthcoming interest changes of the ECB.

Suggested Citation

  • Alexander Jung, 2018. "Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(1), pages 39-67, February.
    • Handle: RePEc:bla:scotjp:v:65:y:2018:i:1:p:39-67
    DOI: 10.1111/sjpe.12143
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    References listed on IDEAS

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    Cited by:

    1. Cour-Thimann, Philippine & Jung, Alexander, 2021. "Interest-rate setting and communication at the ECB in its first twenty years," European Journal of Political Economy, Elsevier, vol. 70(C).
    2. Luis Alberto Delgado-de-la-Garza & Gonzalo Adolfo Garza-Rodríguez & Daniel Alejandro Jacques-Osuna & Alejandro Múgica-Lara & Carlos Alberto Carrasco, 2021. "Does the use of a big data variable improve monetary policy estimates? Evidence from Mexico," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 383-393.
    3. Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
    4. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.

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