How do financial markets react to monetary policy signals?

Carlo Altavilla and Roberto Motto

Research Bulletin, 2020, vol. 73

Abstract: We map ECB policy communications onto yield curve changes and study the information flow on monetary policy decision dates. We find that different monetary policy measures exert effects on different segments of the interest rate term structure, with policy rate changes mostly influencing the short-end of the curve and quantitative easing measures acting more on the long-end. The impact of forward guidance policies, on the other hand, reaches its peak at intermediate maturities. A by-product of this work is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. JEL Classification: E43, E52, E58, G01, G21

Keywords: event-study; Monetary policy surprise; yield curve (search for similar items in EconPapers)
Date: 2020-07
Note: 2279334
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Citations: View citations in EconPapers (3)

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