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Information effects of euro area monetary policy: New evidence from high-frequency futures data

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  • Kerssenfischer, Mark

Abstract

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are due to central bank information effects. That is, ECB announcements convey information not only about monetary policy, but also about economic fundamentals. I separate these "information shocks" from "pure policy shocks" via sign restrictions and find intuitive effects of both shocks on a wide set of financial market prices and survey measures of economic expectations.

Suggested Citation

  • Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
  • Handle: RePEc:zbw:bubdps:072019
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    Cited by:

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    2. Fabian Fink & Lukas Frei & Thomas Maag & Tanja Zehnder, 2020. "The impact of SNB monetary policy on the Swiss franc and longer-term interest rates," Working Papers 2020-01, Swiss National Bank.
    3. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    4. Siekmann, Helmut & Wieland, Volker, 2020. "The ruling of the Federal Constitutional Court concerning the public sector purchase program: A practical way forward," IMFS Working Paper Series 140, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    5. Franz, Thorsten, 2020. "Central bank information shocks and exchange rates," Discussion Papers 13/2020, Deutsche Bundesbank.
    6. Kugler, Peter, 2020. "The Short-Run Impact of Interest Rates on Exchange Rates: Results for the Swiss franc Against the Euro and US Dollar from Daily Data 2001-2011," Working papers 2020/01, Faculty of Business and Economics - University of Basel.
    7. Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
    8. Murgia, Lucia M., 2020. "The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone," Economics Letters, Elsevier, vol. 186(C).

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    More about this item

    Keywords

    Monetary Policy; High-Frequency Identification; Central Bank Information;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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