2004
DOI: 10.1111/j.1367-0271.2004.00127.x
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The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements

Abstract: For an effective and smooth monetary policy, it is important that interest rate expectations are in line with central bank policy intentions. The predictability of money market interest rates is, therefore, an indicator of transparency and clarity in the communication of monetary policy and of the effectiveness of monetary policy implementation.In this paper, we analyse three aspects of the predictability of money market rates in the European Monetary Union (EMU). The first is the efficiency of the three-month… Show more

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Cited by 95 publications
(76 citation statements)
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References 25 publications
(27 reference statements)
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“…With the introduction of the euro in January 1999, we proxy surprise changes in the ECB policy rate by the one-day change in the threemonth Euribor futures rate. Bernoth and Von Hagen (2004) find that the three-month Euribor futures rate is an unbiased predictor of Euro area policy rate changes. 8…”
Section: Identification Of Monetary Policymentioning
confidence: 78%
“…With the introduction of the euro in January 1999, we proxy surprise changes in the ECB policy rate by the one-day change in the threemonth Euribor futures rate. Bernoth and Von Hagen (2004) find that the three-month Euribor futures rate is an unbiased predictor of Euro area policy rate changes. 8…”
Section: Identification Of Monetary Policymentioning
confidence: 78%
“…5 Empirical tests show that, with regard to the predictability of its decisions, the ECB's communication policy will easily stand up to any comparison (see, for example, Gaspar, Pérez-Quirós, and Sicilia, 2001;Bernoth and von Hagen, 2004;and Bank for International Settlements, 2004, p. 86;also, Poole and Rasche, 2003, provide evidence regarding the Federal Reserve). 6 The term "minutes," per se, directly implies transparency and authenticity regarding the course of a meeting.…”
Section: Communication In Practicementioning
confidence: 99%
“…Kohn and Sack (2003) find that the Federal Reserve also influences short-and long-term interest rates with different communication devices. The effect of ECB policy announcement on Euribor futures market rates seems to be small (Bernoth and von Hagen, 2004). Studies related to the impact of communication on exchange rates are Fratzscher (2004), Jansen and de Haan (2004b), or Beine and Lecourt (2004).…”
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confidence: 99%