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The impact of ECB monetary policy decisions and communication on the yield curve

Claus Brand, Jarkko Turunen () and Daniel Buncic

No 657, Working Paper Series from European Central Bank

Abstract: We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The indicators show that ECB communication during the press conference may result in significant changes in market expectations of the path of monetary policy. Furthermore, our results suggest that these changes have a significant and sizeable impact on medium to long-term interest rates. JEL Classification: E43, E58

Keywords: central bank communication.; ECB; money market rates; yield curve (search for similar items in EconPapers)
Date: 2006-07
Note: 92649
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Related works:
Journal Article: The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve (2010) Downloads
Working Paper: The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006657

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