Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union

Central bank communication in the financial crisis: Evidence from a survey of financial market participants

“…Typically, the usefulness of central bank communication is evaluated by its (i) impact on financial markets (see the extensive survey by Blinder et al, 2008), (ii) contribution to predicting future interest rate decisions (Jansen and de Haan, 2009;Hayo and Neuenkirch, 2010;Sturm and de Haan, 2011), or (iii) role in the monetary policy transmission process (Neuenkirch, 2013). Woodford, 2005).…”

Does central bank communication really lead to better forecasts of policy decisions? New evidence based on a Taylor rule model for the ECB

“…So the findings of Heinemann and Ullrich (2007) and Rosa and Verga (2007) may just reflect their use of a potentially mis-specified Taylor rule model. Jansen and De Haan (2009) employed a similar forward-looking Taylor rule model as used in the present paper and conclude that their communication indicator does not increase the fit of the model. 3 Second, all previous papers use just one indicator of ECB communication.…”

“…3 Second, all previous papers use just one indicator of ECB communication. Whereas Heinemann and Ullrich (2007) and Rosa and Verga (2007) use communication indicators that are based on the introductory statement of the ECB's President at the press conference following the ECB policy meeting, Jansen and De Haan (2009) employ an indicator based on Bloomberg news reports. We will show that even if various communication indicators are based on the same information, i.e.…”

Canadian Interest Rate Setting: The Information Content of Canadian and U.S. Central Bank Communication

“…However, a model solely based on this indicator performs worse than the baseline Taylor rule. Jansen and de Haan (2009) examine whether ECB communication is useful in predicting its policy decisions. Using ordered probit models, they find that statements about the main refinancing rate and future inflation are significantly related to interest rate decisions.…”