Monetary Policy Announcements and Expectations: Evidence from German Firms

Zeno Enders, Franziska Hünnekes and Gernot Müller

No 10, Working Papers from German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin

Abstract: We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms submit their answers to the survey. We compare the responses of firms before and after monetary policy surprises and obtain two results. First, firm expectations respond to policy surprises. Second, the response becomes weaker as the surprise becomes bigger. A contractionary surprise of moderate size reduces firm expectations, while a moderate expansionary surprise raises them. Large surprises, both negative and positive, fail to alter expectations. Consistent with this result, we find that many of the ECB's announcements of non-conventional policies did not affect expectations significantly. Overall, our results are consistent with the notion that monetary policy surprises generate an information effect which is endogenous to the size of the policy surprise.

Keywords: Monetary policy announcements; Firm expectations; Survey data; European Central Bank; Information effect (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (58)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/223191/1/SPPWP-10.pdf (application/pdf)

Related works:
Journal Article: Monetary policy announcements and expectations: Evidence from german firms (2019)
Working Paper: Monetary Policy Announcements and Expectations: Evidence from German Firms (2019)
Working Paper: Monetary policy announcements and expectations: Evidence from german firms (2019)
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:zbw:pp1859:10

DOI: 10.18452/20580

Access Statistics for this paper

More papers in Working Papers from German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().