The effect of ECB forward guidance on policy expectations

Paul Hubert and Fabien Labondance

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Abstract: This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of private short-term interest rate expectations. We estimate the static and dynamic impact of forward guidance on private agents' expectations about future short-term interest rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements decrease most of the term structure of private short-term interest rate expectations, this being robust to several specifications. The effect is stronger on longer maturities and persistent.

Keywords: Central Bank communication; Short term interest rate expectations; OIS (search for similar items in EconPapers)
Date: 2016-10-01
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03459188
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: The Effect of ECB Forward Guidance on Policy Expectations (2016)
Working Paper: The effect of ECB forward guidance on policy expectations (2016)
Working Paper: The Effect of ECB Forward Guidance on Policy Expectations (2016)
Working Paper: The effect of ECB forward guidance on policy expectations (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-03459188

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