Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank

International Monetary Fund

No 1998/043, IMF Working Papers from International Monetary Fund

Abstract: Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes and is applied to estimate the response of Euro-deutsch mark interest rates to adjustments in the Bundesbank’s Lombard and discount rates. The results shed light on the efficiency of this market and on the scope for policy signaling by the central bank.

Keywords: WP; rate; discount rate; interest rate; official rate; central banking; monetary policy; Germany; market rate; repurchase rate; facility bank; market participant; Discount rates; Lombard rates; Market interest rates; Central bank rates; Interbank rates (search for similar items in EconPapers)
Pages: 28
Date: 1998-04-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1998/043

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