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Anticipation and Surprises in Central Bank Interest Rate Policy The Case of the Bundesbank

Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes and is appl...

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Bibliographic Details
Corporate Author: International Monetary Fund
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1998
Series:IMF Working Papers
Subjects:
Interbank Rates
Depository Institutions
Interest Rates
Banks
Finance
Discount
Banks And Banking
Financial Services
Micro Finance Institutions
Lombard Rates
Mortgages
Money And Interest Rates: Forecasting And Simulation
Market Interest Rates
Discount Rates
Banking
Interest Rates: Determination, Term Structure, And Effects
Central Bank Rates
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes and is applied to estimate the response of Euro-deutsch mark interest rates to adjustments in the Bundesbank’s Lombard and discount rates. The results shed light on the efficiency of this market and on the scope for policy signaling by the central bank
Physical Description:28 pages
ISBN:9781451975192

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