| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6476 |
| DP6476 Auctions with Anticipated Emotions: Overbidding, Underbidding, and Optimal Reserve Prices | |
| Patrick W. Schmitz; Andreas Roider | |
| 发表日期 | 2007-09-21 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU) has led to substantial convergence in euro area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic data announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain, which since monetary union have seen their long-term interest rates become much lower, much less volatile, and much better anchored in response to news. Finally, the reaction of far-ahead forward interest rates to macroeconomic announcements has converged substantially across euro area countries and even been eliminated over time, thus underlining not only market integration but also the credibility that financial markets attach to monetary policy in the euro area. |
| 主题 | International Macroeconomics |
| 关键词 | monetary policy Euro area Emu Credibility Bond markets Convergence Anchoring |
| URL | https://cepr.org/publications/dp6476 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535296 |
| 推荐引用方式 GB/T 7714 | Patrick W. Schmitz,Andreas Roider. DP6476 Auctions with Anticipated Emotions: Overbidding, Underbidding, and Optimal Reserve Prices. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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