Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79721
Authors: 
Winkelmann, Lars
Bibinger, Markus
Linzert, Tobias
Year of Publication: 
2013
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: Monetary Policy I A01-V2
Abstract: 
We propose a new monetary policy surprise measure based on cojumps in tick-data of a short and long term interest rate. We extend a recently proposed test for cojumps to distinguish policy announcements that shift the short and long end of the yield curve in the same direction (level shift) and policy announcements that shift both ends in opposite directions (rotation). Through level shifts and rotations we identify the source of a policy surprise in a standard Taylor-rule context. Empirical evidence on 133 ECB policy announcements from 2001 to 2012 suggest that markets perceptions about ECB policy preferences has been remarkably stable.
JEL: 
E58
C14
C58
Document Type: 
Conference Paper

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