Euro‐Area Yield Curve Reaction to Monetary News

Jerome Coffinet and Sylvain Gouteron

German Economic Review, 2010, vol. 11, issue 2, 208-224

Abstract: Abstract. Using intraday data, we assess the impact of monetary news on the full length of the euro‐area yield curve. We find that the publication of monetary data has a significant impact on interest rates with maturities ranging from one to ten years, with the largest effect on the one‐ to five‐year segment. These results suggest that when gauging the policy‐relevant signals, market participants look through short‐term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term.

Date: 2010
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https://doi.org/10.1111/j.1468-0475.2009.00473.x

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Journal Article: Euro-Area Yield Curve Reaction to Monetary News (2010)
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