Euro-Area Yield Curve Reaction to Monetary News

Jerome Coffinet and Gouteron Sylvain
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Gouteron Sylvain: European Central Bank,Frankfurt, Germany

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

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.

Keywords: High-frequency data; macroeconomic announcements; money growth (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1111/j.1468-0475.2009.00474.x

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