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Central Bank Communication, Transparency and Interest Rate Volatility: Evidence from the USA

In: Macroeconomics, Finance and Money

Author

Listed:
  • Iris Biefang-Frisancho Mariscal
  • Peter Howells

Abstract

The evidence of monetary policy transparency drawn from money market data is based largely on the behaviour of market rates (of various maturities) on the day of an interest rate decision. A significant reaction is termed a ‘surprise’ and is evidence of a lack of transparency. Generally speaking, the evidence suggests that most central bank interest rate decisions are well anticipated (for the US, for instance, Poole and Rasche (2000), Lange et al. (2003), and Demiralp and Jorda (2004)). This chapter moves the debate on by seeing what ‘openness’ means, if anything, for the behaviour of market interest rates between decision dates.

Suggested Citation

  • Iris Biefang-Frisancho Mariscal & Peter Howells, 2010. "Central Bank Communication, Transparency and Interest Rate Volatility: Evidence from the USA," Palgrave Macmillan Books, in: Giuseppe Fontana & John McCombie & Malcolm Sawyer (ed.), Macroeconomics, Finance and Money, chapter 6, pages 91-108, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-28558-3_6
    DOI: 10.1057/9780230285583_6
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    Citations

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    Cited by:

    1. Osborne, Matthew, 2016. "Monetary policy and volatility in the sterling money market," Bank of England working papers 588, Bank of England.
    2. Kia, Amir, 2017. "Monetary policy transparency in a forward-looking market: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 597-617.
    3. Asif Mahmood, 2016. "Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 12, pages 1-18.
    4. Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.

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