Is the European Central Bank (and the United States Federal Reserve) Predictable?

Pérez‐Quirós, Gabriel; Sicilia, Jorge

doi:10.2139/ssrn.358460

Cited by 23 publications

(2 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Research by ECB staff has indicated that financial markets have broadly been able to predict policy decisions since the inception of the EMU (Perez-Quiros and Sicilia, 2002). Work done at the IMF has confirmed that the overall predictability ofECB actions has been high and broadly comparable to that of the Bank of England and the U.S. Federal Reserve (Ross, 2002).…”

Section: Communication and The Public's Understanding Of Ecb Policiesmentioning

confidence: 96%

The Ecb's Inflation Objective

Kieler

2003

SSRN Journal

View full text Add to dashboard Cite

Section: Communication and The Public's Understanding Of Ecb Policiesmentioning

confidence: 96%

The Ecb's Inflation Objective

Kieler

2003

SSRN Journal

View full text Add to dashboard Cite

“…More importantly, several studies have treated the spread between long-and short-term interests. These studies have focused on different regions in the world; for the EMU, the impact of monetary policy shocks on bond yields declines with the maturity of the bonds, and this impact is significantly lower when the shock stems from a monetary policy meeting of the ECB (Perez-Quiros and Sicilia, 2002). Regarding policy implications, Hassler and Nautz (2008), Cassola and Morana (2008) and Nautz and Scheithauer (2011) reveal that the Eonia spread is I (0) before but fractionally integrated with long memory when the order of fractional integration d has increased to approximately 0.25.…”

Section: Procedures Hypothesesmentioning

confidence: 99%

Essays in financial econometrics : long-run, persistence and common trends

González¹

View full text Add to dashboard Cite

This thesis recognizes that the premises of standard cointegration (I (1)/I (0) dichotomy) are too restrictive. In this sense, the empirical literature has shown that many economic and financial time series hold long-range dependence in the autocorrelation function but do not precisely exhibit a unit root process, i.e., the long memory process. For this reason, traditional cointegration assumptions that the time series may follow the dichotomy I (0)/I (1) are discard, in favour that they follow a fractional process I (d). We also shed the notion that the error term follows a stationary process (I (0)) in cases of cointegration of both variables. In turn, the rigidity of the traditional approach is overcome in favour of allowing for the series to be cointegrated, and the error term does not necessarily need to be I (0); for example, the error term may be cointegrated in order I(d − b), unlike other techniques that assume the error term is I (0). In this sense, the Fractionally Cointegrated Vector Autorregressive (FCVAR) model is an expansion of the traditional cointegrated VAR (CVAR) model, and it allows to determine the number of equilibrium relations via cointegrating rank testing to estimate memory parameters, long-run cointegrating relations with adjustment parameters, and short-run lagged dynamics. To this end, in the current dissertation, we develop empirical analysis to demonstrate the properties of the time series under the fractional cointegration assumptions. In chapters 2 and 3 we consider the cointegrating relation and adjustment dynamics amongst four major stock markets for the Eurozone, and the five major stock markets for Latin America, respectively. The results evidence that there is a full financial integration in both economic regions, despite of the financial crisis occurred in recent years (this case is studied in chapter 2). The following 4 chapters are devoted to study the term structure of interest rates. Indeed, we summarize an empirical review of the Expectations Hypothesis of the Term Structure (EHTS) aiming to establish the adequate procedures for its measurement by using time series and evidencing the linearity restrictions associated with the traditional approaches used in time series applications on term structure (chapter 4). Furthermore, it is also analyzed the relationship between the European Over Night Index Average (Eonia) rate and 3-month Euribor rate (chapter 5). In chapter 6, we apply a pairwise estimation to a wide sample consisting on 9 different maturities of Treasury Constant interest rates. Otherwise, in chapter 7, we use two historical databases for the USA in order to check the behavior of short- and long-term interest rates. In this four chapters, we demonstrate the fractional properties of the cointegrating relations subject to the EHTS conditions. Additionally, we study how the spread is resulting both interest rates, jointly, analyzing the long memory in the spread that has implications for the monetary transmission mechanism and its effectiveness. In chapter 8, the US debt sustainability is analyzed taking into account the Intertemporal Budget Constraint conditions. We propose different scenarios in which the deficit, i.e., the difference between revenues and expenditures, possess different features, providing significant implications for policy makers. Then, the dominance between revenues and expenditures in the common trend is shown. Finally, in chapter 9, concerning the crude oil market, we test if the relationship between West Texas Intermediate and Brent crude oil is globalized or regionalized. Besides, the difference between both crude oils may be an indicator of forecasting, depending the value of its degree of integration and to finish, the driver of the relationship is defined, which may be an indicator for business operators, arbitrageurs, economic agents and policy makers.

show abstract

Monetary Policy Regimes

Moenjak¹

2017

Central Banking

View full text Add to dashboard Cite

Is the European Central Bank (and the United States Federal Reserve) Predictable?

Cited by 23 publications

References 10 publications

The Ecb's Inflation Objective

The Ecb's Inflation Objective

Essays in financial econometrics : long-run, persistence and common trends

Monetary Policy Regimes

Contact Info

Product

Resources

About