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Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?
Author(s) -
Jung Alexander
Publication year - 2018
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/sjpe.12143
Subject(s) - economics , interest rate , probit model , monetary policy , ordered probit , monetary economics , sample (material) , probit , central bank , bank credit , econometrics , financial economics , macroeconomics , chemistry , chromatography
This paper examines whether money and credit data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy. It conducts a novel econometric approach, as suggested by El‐Shagi and Jung (Eur J Polit Econ 39:222–234, 2015), based on a combination of an Ordered Probit model explaining future policy rate changes (sample 2000–2014) and the Vuong test for model selection. Overall, our empirical results support the view that information contained in money and credit aggregates is used by markets when assessing forthcoming interest changes of the ECB.