Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank
AbstractMarket reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes, and applied to estimate the response of euro--deutsche mark interest rates to adjustments in the Bundesbank's Lombard and discount rates.
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.
Volume (Year): 45 (1998)
Issue (Month): 4 (December)
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Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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- Thornton, Daniel L., 2000.
"The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?,"
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre
2000,09, Deutsche Bundesbank, Research Centre.
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- Zettelmeyer, Jeromin, 2004. "The impact of monetary policy on the exchange rate: evidence from three small open economies," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(3), pages 635-652, April.
- Kaketsis, Asimakis & Sarantis, Nicholas, 2006. "The effects of monetary policy changes on market interest rates in Greece: An event study approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(4), pages 487-504.
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