ECB monetary policy surprises: identification through cojumps in interest rates

Tobias Linzert, Lars Winkelmann and Markus Bibinger

No 1674, Working Paper Series from European Central Bank

Abstract: This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB JEL Classification: E58, C14, C58

Keywords: central bank communication; non-synchronous and noisy high frequency tick-data; spectral cojump estimator; Yield curve (search for similar items in EconPapers)
Date: 2014-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Note: 330442
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141674

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