Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229057
Authors: 
Cour, Philippine
Jung, Alexander
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2443
Abstract: 
Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB's monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and that the account of post-meeting communications about risks to price stability and to growth significantly enhances the modelling of its reaction function. Second, we detect that the ECB also responded to the evolution of the federal funds rate, thereby confirming the importance of international interest rate linkages or the global cycle that it reflects. Third, while confirming Gerlach's (2007) finding on the relevance of M3 growth for explaining future interest rate changes, we show that this result only holds for the period before the global financial crisis.
Subjects: 
Probit model
monetary policy reaction function
communication indicators
staff projections
Survey of Professional Forecasters
JEL: 
E43
E52
C22
C25
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4086-3
Document Type: 
Working Paper

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