Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/152938 
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper No. 504
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of the ECB’s monetary policy is fully comparable (and sometimes slightly better) to that of the FED and the Bank of England. Finally, an econometric analysis of the ability of market participants to incorporate in the current money rates the expected changes in the key policy rate shows that in the euro area policy decisions are anticipated well in advance.
Subjects: 
monetary policy
Money market rates
Predictability
JEL: 
E4
E5
G1
Document Type: 
Working Paper

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