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Anticipated Monetary Policy and the Dynamic Behaviour of the Term Structure of Interest Rates

Jääskelä, Jarkko; Vilmunen, Jouko - Suomen Pankki - 1999

This paper investigates the measurement of anticipated interest rate policy and the effects of these expectations on … the term structure of nominal interest rates. It is shown that, under the expectations hypothesis, the level of long … between the market interest rate and the steering rate; and market expectations of the next steering rate change. The …

Persistent link: https://www.econbiz.de/10005190750

How did unconventional monetary policies impact market expectations?

Kanga, Désiré; Levieuge, Grégory - In: Revue d'économie politique 130 (2020) 2, pp. 231-256

Persistent link: https://www.econbiz.de/10012643666

The impact of ECB communication on financial market expectations

Lamla, Michael J.; Rupprecht, Sarah M. - 2006

This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB's introductory statements, we find that communication affects the term structure...

Persistent link: https://www.econbiz.de/10010285932

Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts

Prat, Georges; Uctum, Remzi - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2006

Using Consensus Forecasts monthly surveys, we show that experts' interest rate expectations in the Eurofranc market do … not verify the rational expectations hypothesis. Instead, these expectations are found to be generated by a mixed process …

Persistent link: https://www.econbiz.de/10005094008

Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts

Prat, Georges; Uctum, Remzi - In: Recherches économiques de Louvain 76 (2010) 2, pp. 195-217

Using Consensus Economics? monthly surveys, we show that experts? interest rate expectations in the Eurofranc market do … not verify the rational expectations hypothesis. These expectations are found to be generated by a mixed process combining … results support that experts? expectations are consistent with the model of interest rate term structure. JEL Classification …

Persistent link: https://www.econbiz.de/10008542927

The Impact of ECB Communication on Financial Market Expectations

Lamla, Michael; Rupprecht, Sarah M. - KOF Swiss Economic Institute, Department of Management, … - 2006

This paper analyzes European financial markets’ comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB’s introductory statements, we find that communication affects the term...

Persistent link: https://www.econbiz.de/10005212621