ECB monetary policy surprises: identification through cojumps in interest rates
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More about this item
Keywords
Central bank communication; yield curve; spectral cojump estimator; high frequency tick-data;All these keywords.
JEL classification:
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2013-08-31 (Central Banking)
- NEP-ECM-2013-08-31 (Econometrics)
- NEP-EEC-2013-08-31 (European Economics)
- NEP-MAC-2013-08-31 (Macroeconomics)
- NEP-MON-2013-08-31 (Monetary Economics)
- NEP-MST-2013-08-31 (Market Microstructure)
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