Delphic and odyssean monetary policy shocks: Evidence from the euro area

By P. Andrade, Filippo Ferroni. Journal of Monetary Economics, 2018

177 citations recorded by the source corpus.

In this paper, we study the impact of the ECB announcements on the market-based expectations of interest rates and of in ation rates. We nd that the impact of the ECB announcements on in ation expectations has changed over the last fteen years. In particular, while in the central part of our sample the ECB announcements were read as a signal about the economic conditions (i.e. Delphic component), in latest episodes they have been interpreted as a commitment device on future monetary policy accommodation (i.e. Odyssean component). We propose an approach to separately identify the Delphic and Odyssean component of the ECB monetary policy announcements and we measure their dynamic impact on the economy.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/368fdb79219bc538d7f82711ea5848190e8e4875

Citations in the corpus

• The Time-Varying Effect of Monetary Policy on Asset Prices (2017, unknown): “2See Andrade and Ferroni (2016), Campbell et al. (2012, 2017), Cieslak and Schrimpf (2018), Lakdawala (2017), Jarocinski and Karadi (2018), and Miranda-Agrippino and Ricco (2017) for alternative approaches of identifying the importance or reducing the influence of information shocks.”
• Measuring euro area monetary policy (2019, unknown): “Work on related questions for the euro area have been done by Brand et al. (2010) , Jardet and Monks (2014) , Andrade and Ferroni (2016) , Leombroni et al. (2017) , Cieslak and Schrimpf (2018) , Kane et al. (2018) , Rogers et al. (2014) , and Jaroci ́nski and Karadi (2018) among others.”