Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks

Valentin Jouvanceau and Ieva Mikaliunaite-Jouvanceau

No 79, Bank of Lithuania Working Paper Series from Bank of Lithuania

Abstract: We explore new dimensions of the ECB’s monetary communications using the Euro Area Monetary Policy Event-Study Database (EA-MPD) built by Altavilla et al. (2019). We find that three new factors are needed to capture an excess sensitivity of long-term sovereign yields around monetary announcements. "Duration" surprises cause variations in real long-term rates and are mainly transmitted by term premiums. The "Sovereign spread" and "Save the Euro" surprises greatly influence the long-term yields of the periphery countries. These effects are difficult to reconcile with classic monetary policy shocks. We therefore study their underlying nature and discover that they have the characteristics of "Information", or what we label "Perception" shocks.

Keywords: Monetary surprises; Event-study; Excess sensitivity; Perception shocks; High-frequency Identification (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G12 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2020-10-08
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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