Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank

Publication Date:

April 1, 1998

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes and is applied to estimate the response of Euro-deutsch mark interest rates to adjustments in the Bundesbank’s Lombard and discount rates. The results shed light on the efficiency of this market and on the scope for policy signaling by the central bank.

Series:

Working Paper No. 1998/043

Subject:

Banking Central bank rates Discount rates Financial services Interbank rates Lombard rates Market interest rates

Notes:

Also published in Staff Papers, Vol. 45, No. 4, December 1998.

English

Publication Date:

April 1, 1998

ISBN/ISSN:

9781451975192/1018-5941

Stock No:

WPIEA0431998

Pages:

28

Please address any questions about this title to publications@imf.org