Measuring Euro Area Monetary Policy

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

No 7699, CESifo Working Paper Series from CESifo

Abstract: We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that Forward Guidance and QE effects have been very persistent on the longer-end of the yield curve. We further show that broad and banking stock indices' responses to monetary policy surprises depended on the perceived nature of the surprises. We find no evidence of asymmetric responses of financial markets to positive and negative surprises, in contrast to the literature on asymmetric real effects of monetary policy. Lastly, we show how to implement our methodology for any policy-related news release, such as policymaker speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database, which contains intraday asset price changes around the policy decision announcement as well as around the press conference, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.

Keywords: ECB policy surprise; event-study; intraday; persistence; asymmetry (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (371)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp7699.pdf (application/pdf)

Related works:
Journal Article: 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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7699

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().