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Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 07/2019
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are due to central bank information effects. That is, ECB announcements convey information not only about monetary policy, but also about economic fundamentals. I separate these "information shocks" from "pure policy shocks" via sign restrictions and find intuitive effects of both shocks on a wide set of financial market prices and survey measures of economic expectations.
Schlagwörter: 
Monetary Policy
High-Frequency Identification
Central Bank Information
JEL: 
E52
E44
E32
C32
ISBN: 
978-3-95729-560-6
Dokumentart: 
Working Paper
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