BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Rybacki Jakub (Warsaw School of Economics, Poland)
Tytuł
Does Forward Guidance Matter in Small Open Economies? Examples from Europe
Źródło
Econometric Research in Finance, 2019, vol. 4, nr 1, s. 1-26, tab., wykr., bibliogr. 18 poz.
Słowa kluczowe
Stopa procentowa, Gospodarka otwarta, Polityka pieniężna, Strefa euro
Interest rate, Open economy, Monetary policy, Eurozone
Uwagi
JEL classifcation: E52, E58
summ.
Abstrakt
The effect of forward guidance on interest rate expectations in small, open economies is often described as heterogeneous. There are examples when financial markets adjusted term structure to reflect interest rate forecasts provided in the projections published by the central banks. On the other hand, medium-term expectations can persistently deviate from trajectories presented by decision-makers, influenced by foreign monetary policy. Our aim is to find the maximal forecast horizon where the domestic forward guidance of local banks in European economies affects market interest rate expectations strongly as compared to the ECB policy. We analyzed the term structure of interest rates in Sweden, Norway, and the Czech Republic. Central banks in these three economies provide the most mature forward guidance, e.g., regularly publishing interest rate forecasts with detailed discussions. The three-month interbank rate path calculated with the Nelson-Siegel model was contrasted with both the trajectory of policy rates presented in central bank projections and that implied by the three-month EURIBOR. We found that interest rate expectations were more influenced by ECB policy than by domestic assumptions when the forecast horizon exceeds four quarters. (original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Ball, L. M. (1999). Policy rules for open economies. Monetary policy rules (pp. 127-156). University of Chicago Press.
  2. Campbell, J. R., Evans, C. L., Fisher, J. D., Justiniano, A., Calomiris, C. W., & Woodford, M. (2012). Macroeconomic effects of federal reserve forward guidance, Brookings Papers on Economic Activity, 1-80.
  3. Detmers G. A.and Nautz, D. (2012). The information content of central bank interest rate projections: Evidence from New Zealand. Economic Record, 88(282), 323-329.
  4. Diebold, F.X. and Mariano, R.S. (1995) Comparing predictive accuracy." Journal of Business and Economic Statistics", 13, 253-263.
  5. Diebold, F. X. and Li, C. (2006). Forecasting the term structure of government bond yields." Journal of econometrics", 130(2), 337-364.
  6. Eggertsson, G. B., & Woodford, M. (2003). Optimal monetary policy in a liquidity trap, National Bureau of Economic Research, No. w9968.
  7. Gajewski K., Jara A., Kang Y., Mok J., Moreno D., Serwa D. (2018) International spillovers of monetary policy: lessons from Chile, Korea, and Poland, NBP Working Paper No. 290
  8. Gurkaynak, R., Sack B. and Swanson, E. (2005), Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements. "International Journal of Central Banking", vol. 1(1), May.
  9. Harvey, D., Leybourne, S., & Newbold, P. (1997). Testing the equality of prediction mean squared errors." International Journal of forecasting", 13(2), 281-291.
  10. Kool, Clemens J.M. and Thornton, Daniel L., (2015), How Effective is Central Bank Forward Guidance? "Review", Vol. 97, Issue 4, pp. 303-22, 2015.
  11. Leif B., Ellen S., Xu H. (2017). Forward guidance through interest rate projections: does it work?, Norges Bank Working Paper 2017/6,.
  12. Jain M., Sutherland C. (2018). How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts?, Bank of Canada Working Papers 18-2.
  13. Raskin M. (2013), The Effects of the Federal Reserve's Date-Based Forward Guidance, FEDS Working Paper No. 2013-37.
  14. Rubaszek, M. (2016). Forecasting the yield curve with macroeconomic variables. "Econometric Research in Finance", 1(1), 1-21.
  15. Rudebusch, G. D. and Williams, J. C. (2008). Revealing the secrets of the temple: The value of publishing central bank interest rate projections, Asset Prices and Monetary Policy(pp. 247-289). University of Chicago Press.
  16. Svensson L. (2015). Day One Keynote Address: Forward Guidance, "International Journal of Central Banking", vol. 11(4), pages 19-64
  17. Swanson, E. (2017). Measuring the effects of Federal Reserve forward guidance and asset purchases on financial markets (No. w23311). National Bureau of Economic Research.
  18. Winkelmann, L. (2016). Forward guidance and the predictability of monetary policy: a wavelet-based jump detection approach. "Journal of the Royal Statistical Society: Series C (Applied Statistics)", 65(2), 299-314.
Cytowane przez
Pokaż
ISSN
2451-1935
2451-2370
Język
eng
URI / DOI
http://dx.doi.org/10.33119/ERFIN.2019.4.1.1
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu