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Central bank information effects and transatlantic spillovers

Marek Jarociński

No 2482, Working Paper Series from European Central Bank

Abstract: The news about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements, explaining the puzzling responses of US variables. JEL Classification: E52, F31, F42

Keywords: high-frequency identification; international policy transmission; monetary policy shocks; structural VAR (search for similar items in EconPapers)
Date: 2020-10
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Note: 400529
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Handle: RePEc:ecb:ecbwps:20202482