Euro area market reactions to the monetary developments press release

Jerome Coffinet and Sylvain Gouteron

No 792, Working Paper Series from European Central Bank

Abstract: Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals. JEL Classification: E43, E44, E52, E58

Keywords: high-frequency data; macroeconomic announcements; money growth (search for similar items in EconPapers)
Date: 2007-08
Note: 853102
References: Add references at CitEc
Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Euro Area Market Reactions to the Monetary Developments Press Release (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2007792

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