Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229096
Authors: 
Jaroci´nski, Marek
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2482
Abstract: 
The news about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, for most of this co-movement around ECB policy announcements, and significantly affect a range of financial and macroeconomic quantities on both sides of the Atlantic. These findings shed new light on the nature of central bank information.
Subjects: 
International Policy Transmission
Monetary Policy Shocks
HighFrequency Identification
Structural VAR
JEL: 
E52
F31
F42
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4399-4
Document Type: 
Working Paper

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