ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates

35 Pages Posted: 4 Jul 2014

See all articles by Lars Winkelmann

Lars Winkelmann

Free University of Berlin (FUB)

Markus Bibinger

University of Mannheim

Tobias Linzert

European Central Bank (ECB); IZA Institute of Labor Economics

Date Written: April 30, 2014

Abstract

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 a short and long term interest rate, 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 2001-2012. Our main findings indicate a good predictability of ECB policy decisions and remarkably stable perceptions about the ECB’s policy preferences.

Keywords: central bank communication, yield curve, spectral cojump estimator, non-synchronous and noisy high frequency tick-data

JEL Classification: E58, C14, C58

Suggested Citation

Winkelmann, Lars and Bibinger, Markus and Linzert, Tobias, ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates (April 30, 2014). ECB Working Paper No. 1674, Available at SSRN: https://ssrn.com/abstract=2431300

Lars Winkelmann (Contact Author)

Free University of Berlin (FUB) ( email )

Van't-Hoff-Str. 8
Berlin, Berlin 14195
Germany

Markus Bibinger

University of Mannheim ( email )

Mannheim, 68131
Germany

Tobias Linzert

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

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