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Information effects of euro area monetary policy: New evidence from high-frequency futures data

Mark Kerssenfischer

No 07/2019, Discussion Papers from Deutsche Bundesbank

Abstract: Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are due to central bank information effects. That is, ECB announcements convey information not only about monetary policy, but also about economic fundamentals. I separate these "information shocks" from "pure policy shocks" via sign restrictions and find intuitive effects of both shocks on a wide set of financial market prices and survey measures of economic expectations.

Keywords: Monetary Policy; High-Frequency Identification; Central Bank Information (search for similar items in EconPapers)
JEL-codes: E52 E44 E32 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2019
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Handle: RePEc:zbw:bubdps:072019