central bank communication, ambiguity and market interest rates a case study中央银行沟通,歧义和市场利率的一个案例研究.pdfVIP

Modern Economy, 2012, 3, 295-301 /10.4236/me.2012.33039 Published Online May 2012 (http://www.SciRP.org/journal/me) Central Bank Communication, Ambiguity and Market Interest Rates: A Case Study Carlo Di Giorgio, Enzo Rossi Economics, Law and Institutions Department, University of Rome “Tor Vergata”, Rome, Italy Email: {carlo.digiorgio, enzo.rossi}@uniroma2.it Received January 7, 2012; revised February 19, 2012; accepted March 1, 2012 ABSTRACT 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 am- biguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; more- over, they show that ambiguity had temporary effects also on volatility and moved rates away from the policy rate. Keywords: ECB Communication; Ambiguity Indicators; Structural VAR 1. Introduction the process of adjustment. But here, volatility is related to market movements due to the inclusion of news, and The existence of a trade-off between credibility and not also, if any, to ambiguity of communication. On the flexibility of monetary policies is well known in the tra- other side, some authors2 point out that classify and then ditional literature. The meaning of such trade-off is the code on a numerica