IDEAS home Printed from https://ideas.repec.org/a/ses/arsjes/1999-iv-2.html
   My bibliography  Save this article

Announcement Strategies and the Information in the Term Structure: Evidence from the Duration Distribution of Target Changes

Author

Listed:
  • Peter Anker

Abstract

An important aspect of a central bank's operating procedure is its signalling strategy. Whereas in the US announcements of the federal-funds-rate target are the key policy signal, the signalling strategy of the Bundesbank and the ESCB rely on announcements of several official rates. Following RUDEBUSCH (1995), this paper characterises the link between announcements on the operating target and the information content of the term structure in Germany in comparison to the US case. The results show that, in contrast to the US evidence, the information content of longer-term money-market rates in Germany is considerably higher than could be expected if markets made the best possible use of the univariate stochastic characteristica of the operating target.

Suggested Citation

  • Peter Anker, 1999. "Announcement Strategies and the Information in the Term Structure: Evidence from the Duration Distribution of Target Changes," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 135(IV), pages 559-575, December.
    • Handle: RePEc:ses:arsjes:1999-iv-2
    as

    Download full text from publisher

    File URL: http://www.sjes.ch/papers/1999-IV-2.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ses:arsjes:1999-iv-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kurt Schmidheiny (email available below). General contact details of provider: https://edirc.repec.org/data/sgvssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.