Economics at your fingertips  

Can monetary policy surprise the market?

Mardi Dungey Edda Claus ()
Additional contact information
Mardi Dungey Edda Claus: Wilfrid Laurier University,

Authors registered in the RePEc Author Service: Mardi Dungey and Edda Claus ()

LCERPA Working Papers from Laurier Centre for Economic Research and Policy Analysis

Abstract: 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: 27
Date: 2015-01-01, Revised 2015-01-01
New Economics Papers: this item is included in nep-mac and nep-mon
Note: LCERPA Working Paper No. 2015-2
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
Working Paper: Can monetary policy surprise the market? (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in LCERPA Working Papers from Laurier Centre for Economic Research and Policy Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Andrei Kovacsik ().

Page updated 2020-10-17
Handle: RePEc:wlu:lcerpa:0083