Resource title

Does ECB communication help in predicting its interest rate decisions?

Resource image

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Resource description

We examine the usefulness of communication by the European Central Bank for predicting its interest rate decisions. We use ordered probit models based on the Taylor rule which we estimate using statements by ECB officials as well as macroeconomic variables. Statements by ECB officials on the main refinancing rate and future inflation are significantly related to ECB decisions. However, an out-of-sample evaluation shows that communication-based models do not outperform models based on macroeconomic data in predicting decisions. Both sets of models only accurately predict decisions to leave interest rates unchanged.

Resource author

David-Jan Jansen, Jakob de Haan, Christoph A. Schaltegger

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25849

Resource license

Adapt according to the presented license agreement and reference the original author.