Pricing the ECB's forward guidance with the EONIA swap curve
研究了2013年欧洲央行首次发布前瞻指引后，通过ARMAX模型和事件研究法，发现该指引降低了2个月至10年期欧元隔夜指数互换利率，尤其是10个月至3年期，表明存在承诺效应。
On July 4, 2013, following several other major central banks, the European Central Bank (ECB) gave for the first time forward guidance on interest rates, which affected market participants' expectations of future interest rates in the context of a Zero Lower Bound. Using an ARMAX(1,1) model in which the effect of the communication of negative macroeconomic news was disentangled from the commitment positive shock, the impact of the forward guidance on money market interest rates is estimated through the Euro Overnight Index Average swap, also called overnight index swap, at maturities between 2 months and 10 years using abnormal returns from an event study. The results and robustness checks suggest that the ECB's guidance lowered overnight index swap rates for maturities within 10 months to 3 years. These results imply the existence of a commitment effect from the ECB's communication. In the context of decreasing market liquidity because of the 3-year long-term refinancing operation repayment, market participants priced the low period of interest rates until mid-2016.