The impact of ECB monetary policy decisions and communication on the yield curve

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The indicators show that ECB communication during the press conference may result in significant changes in market expectations of the path of monetary policy. Furthermore, our results suggest that these changes have a significant and sizeable impact on medium to long-term interest rates.

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Year of publication:	2006
Authors:	Brand, Claus ; Buncic, Daniel ; Turunen, Jarkko
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Zentralbank \| Öffentlichkeitsarbeit \| Geldpolitik \| Erwartungsbildung \| Zinsstruktur \| EU-Staaten \| central bank communication \| ECB \| Money market rates \| yield curve

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Series:	ECB Working Paper ; 657
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	516338528 [GVK] hdl:10419/153091 [Handle] RePEc:ecb:ecbwps:20060657 [RePEc]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E58 - Central Banks and Their Policies
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604703