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Is the CNB Predictable?

  • David Navrátil

    ()

    (Èeská spoøitelna, a.s., Economic and Strategic Research Department, Prague)

  • Viktor Kotlán

    ()

    (Èeská spoøitelna, a.s., Economic and Strategic Research Department, Prague)

This paper asks to what extent were the last one hundred policy decisions taken by the Czech National Bank (CNB) considered predictable by the market. The results are threefold. First, CNB policy decisions can be considered as predictable on average. Second, policy predictability followed no clear trend. Third, the analysis shows that it was more difficult for the market to predict policy outcomes regarding CNB Board meetings where interest rate were changed compared with meetings where repo rate were not changed.

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Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 55 (2005)
Issue (Month): 7-8 (July)
Pages: 333-343

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Handle: RePEc:fau:fauart:v:55:y:2005:i:7-8:p:333-343
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  1. Michal Skorepa & Viktor Kotlan, 2003. "Inflation Targeting: to Forecast or to Simulate," Macroeconomics 0304007, EconWPA.
  2. David Navrátil & Viktor Kotlán, 2005. "The CNB’s Policy Decisions – Are They Priced in by the Markets?," Macroeconomics 0503005, EconWPA.
  3. Kevin Ross, 2002. "Market Predictability of ECB Monetary Policy Decisions: A Comparative Examination," IMF Working Papers 02/233, International Monetary Fund.
  4. Andrew G Haldane & Vicky Read, 2000. "Monetary policy surprises and the yield curve," Bank of England working papers 106, Bank of England.
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