ECB’s communication and the yield curve: core versus periphery effects

Ralf Fendel, Frederik Neugebauer and Mustafa Kilinc

Applied Economics Letters, 2021, vol. 28, issue 8, 630-634

Abstract: This paper shows peculiar reactions of sovereign yields to ECB announcements. The focus on different maturities reveals a diverse reaction within the euro area. While economies with a relatively low solvency rating are affected across the entire yield curve, economies with a relatively high solvency rating react significantly only at short maturities.

Date: 2021
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DOI: 10.1080/13504851.2020.1770184

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