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  1. Central bank sentiment and policy expectations
    Author: Hubert, Paul; Labondance, Fabien
    Published: February 2017
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 648
    Subjects: Animal spirits; optimism; confidence; FOMC; interest rate expectations; central bank communication; ECB; aggregate effects
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  2. Testing for UIP
    nonlinearities, monetary announcements and interest rate expectations
    Author: Anderl, Christina; Caporale, Guglielmo Maria
    Published: April 2021
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations. The analysis is conducted for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeters (the US, the Euro-Area and Switzerland) using daily data from January 2000 to December 2020. We find that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated speed of adjustment is substantially faster and the short-run dynamic linkages are stronger. Further, interest rate expectations play an important role: a fast adjustment only occurs when the market expects the interest rate to increase in the near future, namely central banks are perceived as more credible when sticking to their goal of keeping inflation at a low and stable rate. Also, central bank announcements have a more sizeable short-run effect in the nonlinear model. Finally, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of credibility.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/235397
    Series: CESifo working paper ; no. 9027 (2021)
    Subjects: UIP; exchange rate; nonlinearities; asymmetric adjustment; CVAR (Cointegrated VAR); CVSTAR (Cointegrated Smooth Transition VAR); interest rate expectations; interest rate announcements
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen