Article ID Journal Published Year Pages File Type
5089780 Journal of Banking & Finance 2012 21 Pages PDF
Abstract
► We propose new measures of monetary policy surprises. ► They outperform traditional measures. ► We suggest a new framework to study the impacts of monetary policy on interest rates. ► Jumps play a great role in interest rate movements. ► The predictability of the ECB has improved over time.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
New measures of monetary policy surprises and jumps in interest rates
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