ECB monetary communications: Market fragmentation at stake

Valentin Jouvanceau and Ieva Mikaliunaite-Jouvanceau

Economics Letters, 2023, vol. 225, issue C

Abstract: We provide evidence that monetary policy in the Euro Area can unintentionally produce market fragmentation risk. This risk is estimated from changes in long-term bond yields around ECB monetary policy communications between 2002 and 2021. These shocks cause longer-term bond yields in periphery countries to rise significantly, which ultimately hurts their economies. The time series of these shocks are publicly available.

Keywords: Market fragmentation risk; High-frequency identification; ECB communications (search for similar items in EconPapers)
JEL-codes: C38 E44 E58 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000757

DOI: 10.1016/j.econlet.2023.111050

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