2006-07-28 papers

on Market Microstructure

Issue of 2006‒07‒28
one paper chosen by
Thanos Verousis

The impact of ECB monetary policy decisions and communication on the yield curve By Claus Brand; Daniel Buncic; Jarkko Turunen

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

By:	Claus Brand (Corresponding author: European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Daniel Buncic (School of Economics, University of New South Wales, Sydney Australia.); Jarkko Turunen (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
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:	Money market rates, yield curve, ECB, central bank communication.
Date:	2006–07
URL:	http://d.repec.org/n?u=RePEc:ecb:ecbwps:20060657&r=mst

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