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Market reaction to changes in German official interest rates

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  • Hardy, Daniel C.

Abstract

Änderungen der Notenbankzinsen sind in Deutschland wie in allen anderen westlichen Industrieländern das zentrale Instrument der Geldpolitik. Sie stellen den ersten Schritt im monetären Transmissionsprozeß dar. Die wichtigsten Notenbankzinsen sind in Deutschland der Pensionssatz, der Lombard-und der Diskontsatz. In dieser Arbeit werden die unmittelbaren Marktreaktionen auf Änderungen der Leitzinsen untersucht. Dabei interessiert vor allem, welche Signalwirkungen von Notenbankzinsänderungen auf die Marktzinssätze aller Pristigkeiten und auf andere finanzielle Preise ausgehen. Insbesondere werden die Reaktionen der Geldmarktzinsen, der Rendite öffentlicher Wertpapiere, der impliziten Terminsätze, der Wechselkurse, der ausländischen Zinssätze und schließlich der Aktienkurse im unmittelbaren Umfeld von Änderungen der Leitzinssätze beobachtet ...

Suggested Citation

  • Hardy, Daniel C., 1996. "Market reaction to changes in German official interest rates," Discussion Paper Series 1: Economic Studies 1996,04, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:199604
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    1. Iris Biefang-Frisancho Mariscal & Peter Howells, 2004. "Monetary Policy Transparency:Too Good to be True?," Working Papers 0405, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    2. Rüffer, Rasmus, 1999. "Implicit government guarantees and bank herding behavior," Discussion Paper Series 1: Economic Studies 1999,06, Deutsche Bundesbank.
    3. Philippe Muller & Mark Zelmer, 1999. "Greater Transparency in Monetary Policy: Impact on Financial Markets," Technical Reports 86, Bank of Canada.
    4. Boll, Stephan, 1996. "Intergenerative Verteilungseffekte öffentlicher Haushalte: Theoretische Konzepte und empirischer Befund für die Bundesrepublik Deutschland," Discussion Paper Series 1: Economic Studies 1996,06, Deutsche Bundesbank.
    5. Peter Anker & Jorn Wasmund, 2005. "Signalling with official interest rates: the case of the German discount and lombard rate," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 17-31.
    6. Boll, Stephan, 1996. "Intergenerational redistribution through the public sector: Methodology of generational accounting and its empirical application to Germany," Discussion Paper Series 1: Economic Studies 1996,06e, Deutsche Bundesbank.
    7. Tabak, Benjamin Miranda, 2004. "A note on the effects of monetary policy surprises on the Brazilian term structure of interest rates," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 283-287, April.
    8. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007. "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 905-923, October.
    9. J�rôme Vandenbussche & Szabolcs Blazsek & Stanley Watt, 2012. "The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 231-242, February.
    10. Kabelac, Gabriele, 1999. "Cyber money as a medium of exchange," Discussion Paper Series 1: Economic Studies 1999,05e, Deutsche Bundesbank.
    11. Iris Biefang-Frisancho Mariscal & Peter Howells, 2004. "Monetary Policy Transparency:Lessons from Germany and the Eurozone," Working Papers 0410, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    12. Strauch, Rolf, 1999. "Monitoring fiscal adjustments in the European Union and EMU," Discussion Paper Series 1: Economic Studies 1999,04, Deutsche Bundesbank.
    13. Andrew G Haldane & Vicky Read, 2000. "Monetary policy surprises and the yield curve," Bank of England working papers 106, Bank of England.
    14. Anna Buchholz & Cesar Cupertino & Roberto Meurer & Andre Portela Santos & Newton Da Costa, 2012. "The market reaction to changes in the Brazilian official interest rate," Applied Economics Letters, Taylor & Francis Journals, vol. 19(14), pages 1359-1364, September.
    15. Manfred J.M. Neumann & Jens Weidmann, 1997. "The Information Content of German Discount Rate Changes," Macroeconomics 9706006, University Library of Munich, Germany.
    16. Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.

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