Information effects of euro area monetary policy

Mark Kerssenfischer

Economics Letters, 2022, vol. 216, issue C

Abstract: This paper provides evidence for central bank information effects in the euro area. ECB announcements seem to convey information not only about monetary policy, but also about economic fundamentals. I separate these “information surprises” from “pure policy surprises” via sign restrictions and find intuitive effects of both surprise on a wide set of financial market prices, survey expectations and macroeconomic aggregates. Both surprise series are updated and made publicly available.

Keywords: Monetary policy; High-frequency identification; Central bank information (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 E52 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176522001653
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001653

DOI: 10.1016/j.econlet.2022.110570

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().