The effect of ECB forward guidance on policy expectations - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2016

The effect of ECB forward guidance on policy expectations

Abstract

This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of private short-term interest rate expectations. We estimate the static and dynamic impact of forward guidance on private agents’ expectations about future short-term interest rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements decrease most of the term structure of private short-term interest rate expectations, this being robust to several specifications. The effect is stronger on longer maturities and persistent.
Fichier principal
Vignette du fichier
wp2016-30-hubert-effectofecbforwardguidance.pdf (457.97 Ko) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03459188 , version 1 (30-11-2021)

Identifiers

Cite

Paul Hubert, Fabien Labondance. The effect of ECB forward guidance on policy expectations. 2016. ⟨hal-03459188⟩
10 View
92 Download

Share

Gmail Facebook X LinkedIn More