Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91584
Authors: 
Winkelmann, Lars
Bibinger, Markus
Linzert, Tobias
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-038
Abstract: 
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB's policy preferences.
Subjects: 
Central bank communication
yield curve
spectral cojump estimator
high frequency tick-data
JEL: 
E58
C14
C58
Document Type: 
Working Paper

Files in This Item:
File
Size





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