Information effects of euro area monetary policy

被引：3
|
作者：
Kerssenfischer, Mark [1 ]
机构：
[1] Deutsch Bundesbank, Wilhelm Esptein Str 14, D-60431 Frankfurt, Germany
来源：
ECONOMICS LETTERS | 2022年 / 216卷
关键词：
Monetary policy; High-frequency identification; Central bank information; FEDERAL-RESERVE; INTEREST-RATES; IDENTIFICATION; COMMUNICATION; SURPRISES; COSTS;
D O I：
10.1016/j.econlet.2022.110570
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper provides evidence for central bank information effects in the euro area. ECB announcements seem to convey information not only about monetary policy, but also about economic fundamentals. I separate these "information surprises" from "pure policy surprises" via sign restrictions and find intuitive effects of both surprise on a wide set of financial market prices, survey expectations and macroeconomic aggregates. Both surprise series are updated and made publicly available. (C) 2022 Elsevier B.V. All rights reserved.
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页数：5
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