Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154359
Authors: 
Jung, Alexander
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1926
Abstract: 
This paper examines whether monetary data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy. It conducts a novel econometric approach based on a combination of an Ordered Probit model explaining future policy rate changes (sample 2000 to 2014) and the Vuong test for model selection. Overall, our results suggest that information contained in press releases on monetary developments for the euro area has helped markets in forming their expectations on the next monetary policy decision.
Subjects: 
communication
monetary analysis
predictability
Probit model
Vuong test
JEL: 
C34
D78
E52
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2174-9
Document Type: 
Working Paper

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