We asked a representative sample of European banks to judge messages released by ECB members (from February 1999 to February 2000) in terms of their ambiguity. In this paper, we use the answers provided by the surveyed sample to derive a definition of ambiguity and to evaluate ECB communication. Also, we give examples on how to use our definition of ambiguity for econometric purposes. A Structural Vector Autoregression model is estimated and the results show that ambiguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; moreover, they show that ambiguity had temporary effects also on volatility and moved rates away from the policy rate.

Di Giorgio, C., Fontani, A., & Rossi, E. (2010). The effects of ambiguous central bank's communication on money market rates: the study of a special case. [Working paper].

The effects of ambiguous central bank's communication on money market rates: the study of a special case.

DI GIORGIO, CARLO;ROSSI, ENZO
2010-02

Abstract

We asked a representative sample of European banks to judge messages released by ECB members (from February 1999 to February 2000) in terms of their ambiguity. In this paper, we use the answers provided by the surveyed sample to derive a definition of ambiguity and to evaluate ECB communication. Also, we give examples on how to use our definition of ambiguity for econometric purposes. A Structural Vector Autoregression model is estimated and the results show that ambiguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; moreover, they show that ambiguity had temporary effects also on volatility and moved rates away from the policy rate.
Working paper
Rilevanza internazionale
Settore SECS-P/01 - Economia Politica
eng
ECB communication; ambiguity indicators; Structural VAR
http://creg.uniroma2.it/2010/11/11/22010-the-effects-of-ambiguous-central-bank%E2%80%99s-communication-on-money-market-rates-the-study-of-a-special-case/
Di Giorgio, C., Fontani, A., & Rossi, E. (2010). The effects of ambiguous central bank's communication on money market rates: the study of a special case. [Working paper].
DI GIORGIO, C; Fontani, A; Rossi, E
Altro
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/25733
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact