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What can we learn from central bankers' words? Some nonparametric tests for the ECB

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  • Mizen, Paul

Abstract

This paper provides non-parametric tests of the correspondence between the 'words' on price stability from the ECB President's statement and future interest rate changes. It also indicates the commonality of the signal between these indicators of pressure on price stability.

Suggested Citation

  • Mizen, Paul, 2009. "What can we learn from central bankers' words? Some nonparametric tests for the ECB," Economics Letters, Elsevier, vol. 103(1), pages 29-32, April.
    • Handle: RePEc:eee:ecolet:v:103:y:2009:i:1:p:29-32
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    References listed on IDEAS

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    1. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-565, October.
    2. David-Jan Jansen & Jakob de Haan, 2005. "Is a Word to the Wise Indeed Enough? ECB Statements and the Predictibility of Interest Rate Decisions," DNB Working Papers 075, Netherlands Central Bank, Research Department.
    3. Helge Berger & Jakob de Haan & Jan‐Egbert Sturm, 2011. "Does money matter in the ECB strategy? New evidence based on ECB communication," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 16-31, January.
    4. Friedrich Heinemann & Katrin Ullrich, 2007. "Does it Pay to Watch Central Bankers’ Lips? The Information Content of ECB Wording," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(II), pages 155-185, June.
    5. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
    6. Carlo Rosa & Giovanni Verga, 2005. "Is ECB Communication Effective?," CEP Discussion Papers dp0682, Centre for Economic Performance, LSE.
    7. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
    8. Helge Berger & Jakob de Haan & Jan-Egbert Sturm, 2006. "Does money matter in the ECB strategy?," KOF Working papers 06-125, KOF Swiss Economic Institute, ETH Zurich.
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    Cited by:

    1. Tsuchiya, Yoichi, 2016. "Directional analysis of fiscal sustainability: Revisiting Domar's debt sustainability condition," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 189-201.
    2. Menno Middeldorp, 2011. "Central bank transparency, the accuracy of professional forecasts, and interest rate volatility," Staff Reports 496, Federal Reserve Bank of New York.
    3. Menno Middeldorp, 2011. "FOMC communication policy and the accuracy of Fed Funds futures," Staff Reports 491, Federal Reserve Bank of New York.

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