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Is the CNB Predictable?

Author

Listed:
  • David Navrátil

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

  • Viktor Kotlán

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

Abstract

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.

Suggested Citation

  • David Navrátil & Viktor Kotlán, 2005. "Is the CNB Predictable?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(7-8), pages 333-343, July.
  • Handle: RePEc:fau:fauart:v:55:y:2005:i:7-8:p:333-343
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    File URL: http://journal.fsv.cuni.cz/storage/1025_s_333_343.pdf
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    References listed on IDEAS

    as
    1. Andrew G Haldane & Vicky Read, 2000. "Monetary policy surprises and the yield curve," Bank of England working papers 106, Bank of England.
    2. Michal Skořepa & Viktor Kotlán, 2006. "Inflation Targeting: To Forecast or To Simulate?," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 300-314.
    3. Mr. Kevin Ross, 2002. "Market Predictability of ECB Policy Decisions: A Comparative Examination," IMF Working Papers 2002/233, International Monetary Fund.
    4. David Navrátil & Viktor Kotlán, 2005. "The CNB’s Policy Decisions – Are They Priced in by the Markets?," Macroeconomics 0503005, University Library of Munich, Germany.
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    Cited by:

    1. Alena Bicakova & Kamil Dybczak & Ales Krejdl & Jiri Slacalek & Michal Slavik, 2007. "CNB Economic Research Bulletin: Fiscal Policy and its Sustainability," Occasional Publications - Edited Volumes, Czech National Bank, edition 2, volume 5, number rb05/2 edited by Ian Babetskii & Vladimir Bezdek.
    2. Ian Babetskii & Ales Bulir & Fabrizio Coricelli & Jan Filacek & Michal Franta & Roman Horvath & Branislav Saxa & Katerina Smidkova, 2008. "CNB Economic Research Bulletin: Ten Years of Inflation Targeting," Occasional Publications - Edited Volumes, Czech National Bank, edition 1, volume 6, number rb06/1 edited by Ian Babetskii & Katerina Smidkova.

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    More about this item

    Keywords

    monetary policy; determination of interest rates; term structure of interest rates;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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