Euro area monetary policy effects. Does the shape of the yield curve matter?

Florens Odendahl, Maria Sole Pagliari, Adrian Penalver, Barbara Rossi and Giulia Sestieri

Journal of Monetary Economics, 2024, vol. 147, issue S

Abstract: This paper investigates the effects of monetary policy in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key macroeconomic variables.

Keywords: Monetary policy; Euro area; High frequency monetary surprises (search for similar items in EconPapers)
JEL-codes: E20 E37 E50 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Working Paper: Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter? (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:147:y:2024:i:s:s0304393224000709

DOI: 10.1016/j.jmoneco.2024.103617

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