The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study

Steve Ambler and Fabio Rumler

Journal of International Money and Finance, 2019, vol. 94, issue C, 48-61

Abstract: We use daily data on government bond yields and market-based inflation expectations to measure the announcement effects of unconventional monetary policy announcements in the euro area, focusing on their impact on ex-ante real interest rates. We find evidence of statistically significant effects of several announcements on real interest rates at maturities of two, five and ten years that operate partly through nominal interest rates and partly by raising inflation expectations. Announcements that exceeded market expectations significantly reduced nominal and real interest rates while announcements that disappointed expectations had the opposite effect.

Keywords: Unconventional monetary policy; Announcement effects; Market-based inflation expectations; Real yields (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (28)

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Related works:
Working Paper: The Effectiveness of Unconventional Monetary Policy Announcements in the Euro Area: An Event and Econometric Study (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:94:y:2019:i:c:p:48-61

DOI: 10.1016/j.jimonfin.2019.02.007

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