Monetary policy predictability in the euro area: an international comparison

Bjørn-Roger Wilhelmsen and Andrea Zaghini

Applied Economics, 2011, vol. 43, issue 20, 2533-2544

Abstract: We evaluate the ability of market participants to anticipate monetary policy decisions in 14 countries. First, by looking at both the magnitude and volatility of changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of Federal Reserve (FED), Bank of England and European Central Bank (ECB) is fully comparable. Finally, an econometric analysis of the ability of market participants to incorporate in the current short-term interest rates the expected policy changes shows that in the euro area (and in other countries) policy decisions are anticipated well in advance.

Date: 2011
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Working Paper: Monetary policy predictability in the euro area: An international comparison (2005)
Working Paper: Monetary policy predictability in the euro area: an international comparison (2005)
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DOI: 10.1080/00036840903299714

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