Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56654
Authors: 
Winkelmann, Lars
Year of Publication: 
2010
Series/Report no.: 
SFB 649 discussion paper 2010-062
Abstract: 
This paper investigates the information content of the Norges Bank's key rate projections. Wavelet spectrum estimates provide the basis for estimating jump probabilities of short- and long-term interest rates on monetary policy announcement days before and after the introduction of key rate projections. The behavior of short-term interest rates reveals that key rate projections have only little effects on market's forecasting ability of current target rate changes. In contrast, longer-term interest rates indicate that the announcement of key rate projections has significantly reduced market participants' revisions of the expected future policy path. Therefore, the announcement of key rate projections further improves central bank communication.
Subjects: 
central bank communication
interest rate projections
wavelets
jump probabilities
JEL: 
E52
E58
C14
Document Type: 
Working Paper

Files in This Item:
File
Size
543.37 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.