Predictability of Monetary Policy Surprises and Euro Area Macroeconomic DynamicsÂ

David Worms

Working Papers from DNB

Abstract: I document that high-frequency euro area monetary policy surprises – measured as changes in risk-free rates around the Eurosystem‘s policy announcements – are not exogenous to information regarding macroeconomic news and financial market developments that pre-date the announcements. More specifically, around 20% of the variation of surprises can be explained by pre-dated information. I show that the violation of the exogeneity of conventional surprise measures introduces a considerable bias into estimates on the effects of monetary policy on euro area macroeconomic outcomes.

Keywords: High-Frequency Identification; Macro News; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2025-12
New Economics Papers: this item is included in nep-eec, nep-ifn and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.dnb.nl/media/tbkmwen4/working_paper_no-850.pdf

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:dnb:dnbwpp:850

Access Statistics for this paper

More papers in Working Papers from DNB Contact information at EDIRC.
Bibliographic data for series maintained by DNB ().