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Information effects of euro area monetary policy

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  • Kerssenfischer, Mark

Abstract

This paper provides evidence for central bank information effects in the euro area. ECB announcements seem to convey information not only about monetary policy, but also about economic fundamentals. I separate these “information surprises” from “pure policy surprises” via sign restrictions and find intuitive effects of both surprise on a wide set of financial market prices, survey expectations and macroeconomic aggregates. Both surprise series are updated and made publicly available.

Suggested Citation

  • Kerssenfischer, Mark, 2022. "Information effects of euro area monetary policy," Economics Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001653
    DOI: 10.1016/j.econlet.2022.110570
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    Cited by:

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    2. Marco Pinchetti & Andrzej Szczepaniak, 2024. "Global Spillovers of the Fed Information Effect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(2), pages 773-819, June.
    3. Akkaya, Yıldız & Bitter, Lea & Brand, Claus & Fonseca, Luís, 2024. "A statistical approach to identifying ECB monetary policy," Working Paper Series 2994, European Central Bank.
    4. Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
    5. Karau, Sören, 2024. "Relative monetary policy and exchange rates," Discussion Papers 40/2024, Deutsche Bundesbank.
    6. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
    7. Ider, Gökhan & Kriwoluzky, Alexander & Kurcz, Frederik & Schumann, Ben, 2023. "The Energy-Price Channel of (European) Monetary Policy," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277710, Verein für Socialpolitik / German Economic Association.
    8. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2024. "Is There an Information Channel of Monetary Policy?," Discussion Papers of DIW Berlin 2084, DIW Berlin, German Institute for Economic Research.
    9. Sinem Kandemir & Peter Tillmann, 2023. "Not all ECB meetings are created equal," MAGKS Papers on Economics 202312, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    10. Carlos Alba & Julio A. Carrillo & Raúl Ibarra, 2024. "Information Effects of US Monetary Policy Announcements on Emerging Economies: Evidence from Mexico," Working Papers 2024-14, Banco de México.
    11. Marco Moreno & Simone Cima, 2024. "Monetary policy shocks and their effects across the wealth distribution: evidence from new European data," Trinity Economics Papers tep0524, Trinity College Dublin, Department of Economics.
    12. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    13. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

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    More about this item

    Keywords

    Monetary policy; High-frequency identification; Central bank information;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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