Share This Article:

Central Bank Communication, Ambiguity and Market Interest Rates: A Case Study

Full-Text HTML Download Download as PDF (Size:372KB) PP. 295-301
DOI: 10.4236/me.2012.33039    5,184 Downloads   7,792 Views Citations


We asked a representative sample of European banks to judge messages released by ECB members (from February 1999 to February 2000) in terms of their ambiguity. In this paper, we use our survey to derive a definition of ambiguity and to evaluate ECB communication. A Structural Vector Autoregression model is estimated and the results show that ambiguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; moreover, they show that ambiguity had temporary effects also on volatility and moved rates away from the policy rate.

Cite this paper

C. Giorgio and E. Rossi, "Central Bank Communication, Ambiguity and Market Interest Rates: A Case Study," Modern Economy, Vol. 3 No. 3, 2012, pp. 295-301. doi: 10.4236/me.2012.33039.

Copyright © 2019 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.