Have minutes helped markets to predict the MPC's monetary policy decisions?

Makram El-Shagi and Alexander Jung

European Journal of Political Economy, 2015, vol. 39, issue C, 222-234

Abstract: This paper examines whether the minutes of the Bank of England's Monetary Policy Committee (MPC) have provided markets with additional information about the future course of monetary policy. The paper conducts an econometric approach based on an Ordered Probit model explaining future policy rate changes (sample 1998 to 2014), and the Vuong test for model selection, which helps to identify changes in the market assessment around the release of MPC minutes. Our results suggest that the Bank of England's published minutes of the MPC's deliberations have indeed helped markets in forming their expectations on future monetary policy decisions.

Keywords: Communication; MPC minutes; Monetary policy committee; Probit; Vuong test (search for similar items in EconPapers)
JEL-codes: C34 D78 E52 E58 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:poleco:v:39:y:2015:i:c:p:222-234

DOI: 10.1016/j.ejpoleco.2015.05.004

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