Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/223191
Authors: 
Enders, Zeno
Hünnekes, Franziska
Müller, Gernot J.
Year of Publication: 
2019
Series/Report no.: 
Working Papers of the Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour" No. 10
Abstract: 
We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms submit their answers to the survey. We compare the responses of firms before and after monetary policy surprises and obtain two results. First, firm expectations respond to policy surprises. Second, the response becomes weaker as the surprise becomes bigger. A contractionary surprise of moderate size reduces firm expectations, while a moderate expansionary surprise raises them. Large surprises, both negative and positive, fail to alter expectations. Consistent with this result, we find that many of the ECB's announcements of non-conventional policies did not affect expectations significantly. Overall, our results are consistent with the notion that monetary policy surprises generate an information effect which is endogenous to the size of the policy surprise.
Subjects: 
Monetary policy announcements
Firm expectations
Survey data
European Central Bank
Information effect
JEL: 
E31
E52
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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