Title: Delphic and Odyssean monetary policy shocks: Evidence from the euro-area
Authors: Filippo Ferroni - Federal Reserve Bank of Chicago (United States) [presenting]
Abstract: The impact of the ECB announcements on the market-based expectations of interest rates and of inflation rates is studied. We find that the impact of the ECB announcements on inflation expectations has changed over the last fifteen 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.