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

Claus Brand (), Daniel Buncic () and Jarkko Turunen ()
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Claus Brand: Corresponding author: European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

No 657, Working Paper Series from European Central Bank

Abstract: 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. JEL Classification: E43, E58.

Keywords: Money market rates; yield curve; ECB; central bank communication. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fin, nep-fmk, nep-mac, nep-mon and nep-mst
Date: 2006-07
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Related works:
Working Paper: The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ecb:ecbwps:20060657

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