Measuring euro area monetary policy

Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Roberto Motto and Giuseppe Ragusa ()

Journal of Monetary Economics, 2019, vol. 108, issue C, 162-179

Abstract: We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event.

Keywords: G14 ECB Policy surprise; Event-study; Intraday; Persistence; Asymmetry (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (264)

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Related works:
Working Paper: Measuring Euro Area Monetary Policy (2019)
Working Paper: Measuring Euro Area Monetary Policy (2019)
Working Paper: Measuring euro area monetary policy (2019)
Working Paper: Measuring euro area monetary policy (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:108:y:2019:i:c:p:162-179

DOI: 10.1016/j.jmoneco.2019.08.016

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