The Effect of ECB Forward Guidance on Policy Expectations

Paul Hubert and Fabien Labondance

Working Papers from HAL

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.

Date: 2016-10-01
New Economics Papers: this item is included in nep-mac and nep-mon
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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:wpaper:hal-01394821

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