Anticipation and Surprises in Central Bank Interest Rate Policy
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 is applied to estimate the response of Euro-deutsch mark interest rates to adjustments in the Bundesbank’s Lombard and discount rates. The results shed light on the efficiency of this market and on the scope for policy signaling by the central bank.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 98/43.
Date of creation: 01 Apr 1998
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- Iris Biefang-Frisancho Mariscal & Peter Howells, 2006. "Monetary Policy Uncertainty: Is There a Difference Between Bank of England and the Bundesbank/ECB?," Working Papers 0613, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
- Iris Biefang-Frisancho Mariscal & Peter Howells, 2005. "Monetary Policy Transparency and Uncertainty: A Comparison between the Bank of England and the Bundesbank/ECB," Working Papers 0508, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
- Roman MatouÅ¡ek & Anita Taci, 2003. "Direct Inflation Targeting and Nominal Convergence: The Czech Case," Open Economies Review, Springer, Springer, vol. 14(3), pages 269-283, July.
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