Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data

Mark Kerssenfischer

VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy from Verein für Socialpolitik / German Economic Association

Abstract: Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. 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, survey expectations and macroeconomic aggregates.

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: 2019
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Related works:
Working Paper: Information effects of euro area monetary policy: New evidence from high-frequency futures data (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc19:203524

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