ECB monetary policy communication: does it move euro area yields?

Deimantė Teresienė (), Linas Jurkšas () and Rokas Kaminskas ()
Additional contact information
Deimantė Teresienė: Bank of Lithuania, Vilnius University
Linas Jurkšas: Bank of Lithuania, Vilnius University
Rokas Kaminskas: Bank of Lithuania, ISM University of Management and Economics
Authors registered in the RePEc Author Service: Deimante Vasiliauskaite

No 28, Bank of Lithuania Discussion Paper Series from Bank of Lithuania

Abstract: Communication issues in central banking are important for maintaining the transparency of decisions and preparing financial markets for future changes in monetary policy. This study aims to determine what impact ECB monetary policy communication has on sovereign yields in the euro area on an intraday basis. We analyze different types of ECB monetary policy communication events: ECB monetary policy decisions, press conferences, accounts, and speeches made by Executive Board members. With the help of OLS and panel regression, we study how these communication events and control variables affect the intraday yield changes of major euro area sovereign and overnight index swap markets since 2014. The results from the baseline regression reveal that all four types of analyzed ECB monetary policy communication events have been affecting yields of the largest euro area sovereigns, with ECB decisions and press conferences showing the most substantial impact. Countries with the highest debt levels (such as Italy, Spain, and France) experienced the most robust changes in fiscal costs from ECB communication events, while the German bund market seems less affected. However, the period encompassing the economic shock induced by the Covid-19 pandemic shows much weaker effects, while Executive Board members who have been in charge since the start of the sample period of 2014 seem to have a much more substantial impact on euro area yields than more recent members. Sovereign yields bear the most decisive impact from media articles covering speeches’ topics of unconventional monetary policy measures and, to a smaller extent, interest rates and monetary policy targets.

Keywords: communication; ECB; euro area; monetary policy; sovereign yields (search for similar items in EconPapers)
JEL-codes: C80 E43 E44 E58 G12 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2022-04-12
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.lb.lt/uploads/publications/docs/37008_ ... cf10453170b8f291.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
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:lie:dpaper:28

Access Statistics for this paper

More papers in Bank of Lithuania Discussion Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Aurelija Proskute ().