The Information Content of German Discount Rate Changes
Discount rate changes always receive considerable attention in financial markets and a bulk of empirical papers shows that asset prices react to them. However, among researcher, there is no consensus yet about why markets respond to such changes. This paper analyses this issue for the Bundesbank's discount rate changes after 1979. The empirical results indicate that the overnight rate reacts to changes in the discount rate to the extent that they are unanticipated. In contrast, the response to anticipated changes in the discount rate is much smaller and insignificant. Moreover, the response of the overnight rate cannot be attributed to a direct "borrowing cost effect", but exclusively to announcement effects.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jul 1996|
|Date of revision:|
|Contact details of provider:|| Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany|
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de
When requesting a correction, please mention this item's handle: RePEc:bon:bonsfb:367. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (BGSE Office)
If references are entirely missing, you can add them using this form.