The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

Claus Brand (), Daniel Buncic () and Jarkko Turunen ()
Additional contact information
Claus Brand: European Central Bank

No 2008-11, Discussion Papers from School of Economics, The University of New South Wales

Abstract: We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the ECB, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, while that to policy decisions is downward sloping.

Keywords: money market rates; yield curve; ECB; central bank communication (search for similar items in EconPapers)
JEL-codes: E43 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: Written
View list of references View citations in EconPapers

Downloads: (external link)
http://wwwdocs.fce.unsw.edu.au/economics/Research/WorkingPapers/2008_11.pdf (application/pdf)

Related works:
Working Paper: The impact of ECB monetary policy decisions and communication on the yield curve (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:swe:wpaper:2008-11

Access Statistics for this paper

More papers in Discussion Papers from School of Economics, The University of New South Wales
Contact information at EDIRC.
Series data maintained by Alexandre Dmitriev ().