Type
Working paper
Titre
The effect of ECB forward guidance on policy expectations
Dans
OFCE Working Paper
Éditeur
Paris : OFCE
Collection
OFCE Working Paper : 2016-30
Mots clés
Central Bank communication, Short term interest rate expectations, OIS
Résumé
EN
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.

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