Delphic and Odyssean monetary policy shocks: Evidence from the euro-area

Philippe Andrade and Filippo Ferroni

No 1216, School of Economics Discussion Papers from School of Economics, University of Surrey

Abstract: In this paper, we study the impact of the ECB announcements on the market-based expectations of interest rates and of in ation rates. We nd that the impact of the ECB announcements on in ation expectations has changed over the last fteen years. In particular, while in the central part of our sample the ECB announcements were read as a signal about the economic conditions (i.e. Delphic component), in latest episodes they have been interpreted as a commitment device on future monetary policy accommodation (i.e. Odyssean component). We propose an approach to separately identify the Delphic and Odyssean component of the ECB monetary policy announcements and we measure their dynamic impact on the economy.

JEL-codes: C10 E32 E52 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2016-10
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (56)

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https://repec.som.surrey.ac.uk/2016/DP12-16.pdf (application/pdf)

Related works:
Journal Article: Delphic and odyssean monetary policy shocks: Evidence from the euro area (2021)
Working Paper: Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area (2019)
Working Paper: Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area (2018)
Working Paper: Delphic and Odyssean monetary policy shocks: Evidence from the euro-area (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:1216

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