The impact of ECB monetary policy decisions and communication on the yield curve
Journal
Journal of the European Economic Association
ISSN
1542-4766
ISSN-Digital
1542-4774
Type
journal article
Date Issued
2010-12
Author(s)
Abstract
We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the European Central Bank, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, whereas that to policy decisions is downward-sloping.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley
Publisher place
New York
Volume
8
Number
6
Start page
1266
End page
1298
Pages
33
Subject(s)
Division(s)
Eprints ID
71114