ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates
提出一种新的计量方法，利用短期和长期利率期货的日内高频数据中的共同跳跃，识别货币政策公告中的意外及其市场感知来源，应用于2001-2012年欧洲央行133次政策公告。
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 short- and long-term interest rate futures, 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 to 2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB's policy preferences. Copyright © 2015 John Wiley & Sons, Ltd.