期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2020
卷号：12
期号：8
页码：52-64
DOI：10.5539/ijef.v12n8p52
出版社：Canadian Center of Science and Education
摘要：This study analyzes the impact of forward guidance (FG) by the ECB on the forecast error of financial markets participants regarding the interest rate level and the slope of the yield curve. We refer to OIS (overnight index swap) forwards as the relevant forecasts and purge the prediction error of several macroeconomic and financial variables to gain a pure representation of the exogenous forecast error. To isolate the effect of FG, this study refers to the absolute deviation of forecasts from actual rates and further controls for variables representing unconventional monetary policies. We find that the introduction of FG improved interest rate predictability for shorter maturities while the substantial decline of long-term interest rates has caught markets by surprise. Hence, the ECB’s intended reduction of refinancing rates at the longer end of the interest rate curve came at the cost of lower predictability of the slope of the yield curve.
