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The effect of ECB forward guidance on policy expectations

Abstract : This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of private short-term interest rate expectations. We estimate the static and dynamic impact of forward guidance on private agents’ expectations about future short-term interest rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements decrease most of the term structure of private short-term interest rate expectations, this being robust to several specifications. The effect is stronger on longer maturities and persistent.
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https://hal-sciencespo.archives-ouvertes.fr/hal-03459188
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Submitted on : Tuesday, November 30, 2021 - 11:37:26 PM
Last modification on : Friday, March 25, 2022 - 3:58:25 AM

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Paul Hubert, Fabien Labondance. The effect of ECB forward guidance on policy expectations. 2016. ⟨hal-03459188⟩

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