Can monetary policy surprise the market?
Edda Claus () and
CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
This paper extracts measures of monetary policy surprises for Australia, Canada and the United States using a latent factor framework. We distinguish monetary policy surprises which occur when central banks report new assessments of the economy (or do not reinforce changes expected by market assessments) from those when policy makers appear to change their preferences. Changing policy preferences are evident in all jurisdictions, particularly during periods of stress. No-change policy announcements have distinctly differing impacts across the three countries; in Canada these have the same impact as policy changes, in Australia they are not discernibly different to a normal trading day and the US market lies between these scenarios. The revealed differences in size and type of the policy surprise outcomes for these operationally similar central banks suggests that the role of transparency policy is more subtle than previously appreciated.
Keywords: monetary policy; central banks; latent factor model (search for similar items in EconPapers)
JEL-codes: E43 E52 C38 (search for similar items in EconPapers)
Pages: 28 pages
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... 015_claus_dungey.pdf (application/pdf)
Working Paper: Can monetary policy surprise the market? (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2015-05
Access Statistics for this paper
More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().