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ECB monetary policy surprises: identification through cojumps in interest rates

Author

Listed:
  • Linzert, Tobias
  • Winkelmann, Lars
  • Bibinger, Markus
Abstract
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB JEL Classification: E58, C14, C58

Suggested Citation

  • Linzert, Tobias & Winkelmann, Lars & Bibinger, Markus, 2014. "ECB monetary policy surprises: identification through cojumps in interest rates," Working Paper Series 1674, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20141674
    Note: 330442
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1674.pdf
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    References listed on IDEAS

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    Cited by:

    1. Bruno, Valentina & Shim, Ilhyock & Shin, Hyun Song, 2017. "Comparative assessment of macroprudential policies," Journal of Financial Stability, Elsevier, vol. 28(C), pages 183-202.
    2. Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.

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    More about this item

    Keywords

    central bank communication; non-synchronous and noisy high frequency tick-data; spectral cojump estimator; Yield curve;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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