Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank

Daniel C. Hardy
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Daniel C. Hardy: International Monetary Fund

IMF Staff Papers, 1998, vol. 45, issue 4, 647-671

Abstract: Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes, and applied to estimate the response of euro--deutsche mark interest rates to adjustments in the Bundesbank's Lombard and discount rates.

JEL-codes: E43 E47 (search for similar items in EconPapers)
Date: 1998
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