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1 octobre 2016
- ISIDORE Id: 10670/1.c37f01...
- hal: hal-03459188
- SCIENCESPO: 2441/2g6qj1trtu8q2r79ee4jp49krd
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info:eu-repo/semantics/altIdentifier/hdl/2441/2g6qj1trtu8q2r79ee4jp49krd
info:eu-repo/semantics/OpenAccess
Mots-clés
Central Bank communication Short term interest rate expectations OIS E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, Term Structure, and Effects E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their PoliciesSujets proches
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Paul Hubert et al., « The effect of ECB forward guidance on policy expectations », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.c37f01...
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Résumé
This paper investigates the instantaneous and dynamic effects of ECB forward guidanceannouncements on the term structure of private short-term interest rate expectations. Weestimate the static and dynamic impact of forward guidance on private agents’ expectationsabout future short-term interest rates using a high-frequency methodology and an ARCHmodel, complemented with local projections. We find that ECB forward guidanceannouncements decrease most of the term structure of private short-term interest rateexpectations, this being robust to several specifications. The effect is stronger on longermaturities and persistent.
