DO EUROPEAN CENTRAL BANK'S STATEMENTS STEER INTEREST RATES IN THE EURO ZONE?*

Marie Musard‐gies
Authors registered in the RePEc Author Service: Marie Musard-Gies ()

Manchester School, 2006, vol. 74, issue s1, 116-139

Abstract: In this study, we aim at testing whether press conferences held after the meeting of the European Central Bank's monetary policy council steer market interest rates in the Euro zone. To meet this goal, we quantify the statements according to whether they are neutral, hawkish or dovish. We show, using a principal components analysis, that market interest rates react significantly to the bias in statements, and more particularly to changes in statements from one meeting to the next. Moreover, we find that the short end of the yield curve reacts more sharply to statements than the long segment: the effect of statements peaks on interest rates with a maturity of 6 or 12 months and is smaller for the longer maturities. Using non‐parametric tests confirms our previous results.

Date: 2006
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