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| Author: | Brand, C. Turunen, J. Buncic, D. |
| Title: | The impact of ECB monetary policy decisions and communication on the yield curve |
| Journal: | Journal of the European Economic Association
2010 : VOL 8:6 p. 1266-1298 |
| Index terms: | money markets interest rates news reporting European Central Bank expectations |
| Language: | eng |
| Abstract: | In this paper intraday changes are used in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the European Central Bank, and study their impact on the yield curve. It is shown that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a remarkable effect on interest rates at longer maturities. Thus, the maturity response pattern to communication is hump-shaped, whereas that to policy decisions is downward-sloping. |
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