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Anticipation and Surprises in Central Bank Interest Rate Policy By Daniel Hardy
Full Text of This Article (PDF
156 K) Abstract: Market reaction to a change in official interest rates will depend on the exent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes, and applied to estimate the response of euro-deutsche mark interest rates to adjustments in the Bundesbank's Lombard and discount rates. [JEL E43, E47]
© 1998 International Monetary Fund
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