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 our survey to derive a definition of ambiguity and to evaluate ECB communication. 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.

Rossi, E., DI GIORGIO, C. (2012). Central Bank communication, ambiguity and market interest rates: a case study. MODERN ECONOMY, 3(3), 295-301 [10.4236/me.2012.33039].

Central Bank communication, ambiguity and market interest rates: a case study

ROSSI, ENZO;DI GIORGIO, CARLO
2012-01-01

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 our survey to derive a definition of ambiguity and to evaluate ECB communication. 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.
2012
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-P/01 - ECONOMIA POLITICA
English
ECB communication; ambiguity indicators; structural VAR
Rossi, E., DI GIORGIO, C. (2012). Central Bank communication, ambiguity and market interest rates: a case study. MODERN ECONOMY, 3(3), 295-301 [10.4236/me.2012.33039].
Rossi, E; DI GIORGIO, C
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/60691
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