Sensitivity of the Euro OIS Term Structure to ECB Policy Rate Surprises

Stefano Herzel () and Marco Nicolosi ()
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Stefano Herzel: DEF, University of Rome "Tor Vergata", http://www.ceistorvergata.it
Marco Nicolosi: Università La Sapienza

No 619, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: We analyze the sensitivity of the euro-area yield curve to revisions in market expectations of the ECB policy rate. Using changes in the maintenance-period forward OIS as a market-based measure of policy-rate surprises, we document that yield responses vary systematically across maturities. To interpret these patterns, we adopt a short-rate model with stochastic jumps occurring only at scheduled ECB meeting dates and derive closed-form expressions for the condi- tional sensitivity of yields to changes in the expected jump size. We compare the model-implied term-structure responses with realized yield changes on days of large revisions in expectations. The model reproduces the cross-sectional shape and magnitude of observed sensitivities, especially the pronounced peak at intermediate maturities, underscoring the importance of incorporating scheduled jump times when modeling interest-rate dynamics.

Keywords: OIS; €STR; ECB; monetary policy surprises; scheduled jumps; term-structure sensitivity (search for similar items in EconPapers)
JEL-codes: E43 E52 G12 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2026-01-12, Revised 2026-01-12
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