Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56654 
Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2010-062
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
This paper investigates the information content of the Norges Bank's key rate projections. Wavelet spectrum estimates provide the basis for estimating jump probabilities of short- and long-term interest rates on monetary policy announcement days before and after the introduction of key rate projections. The behavior of short-term interest rates reveals that key rate projections have only little effects on market's forecasting ability of current target rate changes. In contrast, longer-term interest rates indicate that the announcement of key rate projections has significantly reduced market participants' revisions of the expected future policy path. Therefore, the announcement of key rate projections further improves central bank communication.
Schlagwörter: 
central bank communication
interest rate projections
wavelets
jump probabilities
JEL: 
E52
E58
C14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
543.37 kB





Publikationen in EconStor sind urheberrechtlich geschützt.