Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?

Alexander Jung

No 1926, Working Paper Series from European Central Bank

Abstract: This paper examines whether monetary data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy. It conducts a novel econometric approach based on a combination of an Ordered Probit model explaining future policy rate changes (sample 2000 to 2014) and the Vuong test for model selection. Overall, our results suggest that information contained in press releases on monetary developments for the euro area has helped markets in forming their expectations on the next monetary policy decision. JEL Classification: C34, D78, E52, E58

Keywords: communication; monetary analysis; predictability; Probit model; Vuong test (search for similar items in EconPapers)
Date: 2016-07
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Note: 2106626
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161926

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