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Book Cover
Author Ross, Kevin (Kevin L.)

Title Market predictability of ECB monetary policy decisions : a comparative examination / Kevin Ross

Published [Washington, D.C.] : International Monetary Fund, [2002]
Online access available from:
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Description 1 online resource (26 pages) : illustrations
monochrome rdacc
Series IMF working paper ; WP/02/233
IMF working paper ; WP/02/233
Summary Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions. At the same time, these surveys of financial market participants have given relatively high marks to the United States Federal Reserve and the Bank of England on their ability to be understood by financial markets. Against this background, this paper examines the ability of financial markets to correctly anticipate these three central bank policy decisions over the first 3 1/2 years of the ECB. The paper relies on calculations that market participants employ in anticipating policy changes and on term structure regressions that provide ex post evidence of market surprises. While the results suggest that all three central banks are broadly predictable, markets have had difficulty anticipating large changes and cuts in ECB policy interest rates. These surprises may be tied to the large number of policy meetings, particular characteristics of the EONIA money market, and the unique circumstances of the ECB. An added factor may be the absence of a consistent policy on communicating the current stance-if any-of the ECB's policy bias on the future direction of interest rates
Notes "December 2002"--Page [1]
At head of title: European I Department
Cover title
Bibliography Includes bibliographical references (pages 25-26)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. MiAaHDL
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject European Central Bank.
Banks and banking, Central -- European Union countries.
Interest rates -- European Union countries -- Forecasting -- Econometric models.
Monetary policy -- European Union countries -- Forecasting -- Econometric models.
Form Electronic book
ISBN 1283516217
1451920202 (E-Book)