News and Interest Rate Expectations: A Study of Six Central Banks
نویسندگان
چکیده
In this paper we analyse the effect of news relating to the expected path of monetary policy on interest rate futures. Central banks’ transparency is in most respects much greater than it was a decade ago, and so central bank communication needs to be included as a potential source of news. We therefore consider four types of news: macroeconomic news, overseas news, monetary policy surprises and central bank communication. The effect of these types of news on daily changes in interest rate futures is estimated using an EGARCH model for a panel of six economies. We find that interest rate expectations respond to both macroeconomic and policy news, although the response to macroeconomic news is larger, especially once we include foreign news. Overall, the results suggest that the impact of the RBA’s communication policy is in line with other major central banks, and significantly influences (and informs) expectations of future monetary policy. JEL Classification Numbers: E58, E52, G14
منابع مشابه
Interest rate and output gap: Does central bank credibility matter?
This paper studies the effects of central bank credibility on nominal interest rate and output gap on 17 inflation targeting (IT) developing countries using Instrument Variables (IV) over a period that spans 24 years (1996-2019). In the first stage, using new Keynesian model is obtained “Credibility loss” index to measure the importance of central bank past performance and its deviation from it...
متن کاملDiscussion of News and Interest Rate Expectations: A Study of Six Central Banks
While I fi nd the paper interesting, the results provide somewhat of a puzzle. If central bank communication does not affect the predictability of interest rates, why do central banks talk so much? As an example, since 1999 the six members of the Executive Board of Sveriges Riksbank (the central bank of Sweden) gave in combination an average of about 35 speeches per year. On top of that, some s...
متن کاملStudy of the Relationship between Inflation Rate and Bank Interest Rate in the Iranian Economy
Experts believe that by lowering the interest rate on bank accounts, total cost of goods and services decreases, and secondly, investment production increases, both of which lead to lower inflation and provide stable employment field, on the other hand, are concerned about the negative effects of lowering the interest rate without lowering inflation and know the underlying requirement of nomin...
متن کاملThe Impact of Liquidity Requirements on Central Bank Policies in Interbank Market of Iran
The interbank rate has a great impact on the bank's economic activities that it is one of the important instrument for central bank policy. Banks to back up their funds or liquidity demand participate in the interbank market. These change their needed or surplus liquidity based on interbank market conditions. According to this, liquidity requirements can change the central banks' monetary poli...
متن کاملارزیابی رژیمهای مختلف ارزی در یک اقتصاد باز کوچک
This research is an attempt to study about the efficiency of different exchange-rate regimes based on reduces in loss function of central bank in a form of Dynamic Stochastic General Equilibrium (DSGE), considering an oil exporting economy such as Iran's Economy. Thus, after adjusting a pattern, considering the structural characteristic of Iran’s Economy as oil exporting country and obtaining m...
متن کامل