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Working paper
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Working paper
Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
In: Riksbank Research Paper Series No. 168
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Working paper
Discovering Stars: Problems in Recovering Latent Variables from Models
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Working paper
Global equity market volatility spillovers: A broader role for the United States
In: International journal of forecasting, Band 32, Heft 4, S. 1317-1339
ISSN: 0169-2070
Recovering Stars in Macroeconomics
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Recovering Stars in Macroeconomics
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Recovering Stars in Macroeconomics
In: Melbourne Institute Working Paper No. 12/23
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The impact of ECB monetary policy decisions and communication on the yield curve
We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The indicators show that ECB communication during the press conference may result in significant changes in market expectations of the path of monetary policy. Furthermore, our results suggest that these changes have a significant and sizeable impact on medium to long-term interest rates.
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The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
In: ECB Working Paper No. 657
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