Out of the ELB: Expected ECB policy rates and the Taylor rule

Marco Bernardini and Alessandro Lin

Economics Letters, 2024, vol. 235, issue C

Abstract: We compare the path of the ECB policy rate (deposit facility rate) expected by financial market analysts with simple monetary policy rules based on their own expectations regarding inflation and economic activity. To this end, we adopt a thick-modelling approach to account for uncertainty surrounding the exact parametrization of the rule according to analysts. We show that, since the ECB monetary policy moved away from the effective lower bound (ELB) and stopped providing explicit forward guidance on the future path of the policy rate, policy rate expectations have become largely aligned with those implied by the rules.

Keywords: Monetary policy rules; Expectations; ECB survey of monetary analysts; Effective lower bound (search for similar items in EconPapers)
JEL-codes: E40 E52 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Working Paper: Out of the ELB: expected ECB policy rates and the Taylor rule (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000302

DOI: 10.1016/j.econlet.2024.111546

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