Monetary Policy Predictability in The Euro Area: An International Comparison

Andrea Zaghini (1)

1 Research

We evaluate the ability of market participants to anticipate monetary policy decisions in 14 countries. First, by looking at both magnitude and volatility of changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of FED, Bank of England and ECB is fully comparable. Finally, an econometric analysis of the ability of market participants to incorporate in the current short-term interest rates the expected policy changes shows that in the Euro area (and in other countries) policy decisions are anticipated well in advance.

Mots clés: Social Sciences & Humanities

Andrea Zaghini. Monetary Policy Predictability in The Euro Area: An International Comparison. Applied Economics, 2010, pp.1. ⟨10.1080/00036840903299714⟩. ⟨hal-00591715⟩