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The timing of central bank communication

Ehrmann, Michael; Fratzscher, Marcel - 2005

This paper explores whether there are systematic patterns as to when members of the decision-making committees of the Federal Reserve, the Bank of England and the European Central Bank communicate with the public, and under what circumstances such communication has the ability to move financial...

Persistent link: https://www.econbiz.de/10011604611

Communication and decision-making by central bank committees: different strategies, same effectiveness?

Ehrmann, Michael; Fratzscher, Marcel - 2005

The paper assesses the communication strategies of the Federal Reserve, the Bank of England and the European Central Bank and their effectiveness. We find that the effectiveness of communication is not independent from the decisionmaking process in the committee. The paper shows that the Federal...

Persistent link: https://www.econbiz.de/10011604534

How should central banks communicate?

Ehrmann, Michael; Fratzscher, Marcel - 2005

The paper shows that central bank communication is a key determinant of the market’s ability to anticipate monetary policy decisions and the future path of interest rates. Comparing communication policies by the Federal Reserve, the Bank of England and the ECB since 1999, we find that...

Persistent link: https://www.econbiz.de/10011604603

Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan

Nagano, Teppei; Baba, Naohiko - 2008

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

Persistent link: https://www.econbiz.de/10011605026

The reception of public signals in financial markets - what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...

Persistent link: https://www.econbiz.de/10011605123

Transparency, disclosure and the federal reserve

Ehrmann, Michael; Fratzscher, Marcel - 2005

This paper assesses the change in Federal Reserve policy introduced in 1999, with the publication of statements about the outlook for monetary policy (and later about the balance of risks) immediately after each FOMC meeting. We find that markets anticipated monetary policy decisions equally...

Persistent link: https://www.econbiz.de/10011604503

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

-based measures of credit risk, liquidity risk and interest rate risk. In this context, I analyse how the set of explanatory factors … repriced CDX contracts to a larger extent than iTraxx contracts. Credit risk and liquidity factors are priced in almost all … tranches with liquidity risk playing a larger role since the start of the turmoil. …

Persistent link: https://www.econbiz.de/10011604956

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

Persistent link: https://www.econbiz.de/10011605091

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … relationship between observed index returns and macroeco-nomic news as well as market based proxies of default risk, interest rates …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

Persistent link: https://www.econbiz.de/10011605102

The Anatomy of the Euro Area Interest Rate Swap Market

Dalla Fontana, Silvia - 2019

comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing … non-banks are often specialised. 3) When using relative net exposures as a proxy for the “flow of risk”in the IRS market …, we find that risk absorption takes place in the core as well as the periphery of the network. 4) Among the Basel III …

Persistent link: https://www.econbiz.de/10012892579