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Is the CNB Predictable?

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Author Info

  • David Navrátil

    () (Èeská spoøitelna, a.s., Economic and Strategic Research Department, Prague)

  • Viktor Kotlán

    () (Èeská spoøitelna, a.s., Economic and Strategic Research Department, Prague)

Abstract

This paper asks to what extent were the last one hundred policy decisions taken by the Czech National Bank (CNB) considered predictable by the market. The results are threefold. First, CNB policy decisions can be considered as predictable on average. Second, policy predictability followed no clear trend. Third, the analysis shows that it was more difficult for the market to predict policy outcomes regarding CNB Board meetings where interest rate were changed compared with meetings where repo rate were not changed.

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File URL: http://journal.fsv.cuni.cz/storage/1025_s_333_343.pdf
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Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 55 (2005)
Issue (Month): 7-8 (July)
Pages: 333-343

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Handle: RePEc:fau:fauart:v:55:y:2005:i:7-8:p:333-343

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Related research

Keywords: monetary policy; determination of interest rates; term structure of interest rates;

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References

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  1. Andrew G Haldane & Vicky Read, 2000. "Monetary policy surprises and the yield curve," Bank of England working papers 106, Bank of England.
  2. Michal Skorepa & Viktor Kotlan, 2003. "Inflation Targeting: to Forecast or to Simulate," Macroeconomics 0304007, EconWPA.
  3. David Navratil & Viktor Kotlan, 2005. "The CNB's Policy Decisions - Are They Priced in by the Markets?," Research and Policy Notes 2005/01, Czech National Bank, Research Department.
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