The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
By Claus Brand, J. Turunen. Social Science Research Network, 2010
196 citations recorded by the source corpus.
We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the ECB, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, while that to policy decisions is downward sloping.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/403f391fa235e9bf0aee20e4a0b3848d1fc4c522
How researchers see this paper
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In Economics and Econometrics
- Marcel Fratzscher
- Michael Ehrmann
- Anna Cieślak
- A. Schrimpf
- Jakob de Haan
- Heikki Lehkonen
- D. Jansen
- J. Rogers
Citations in the corpus
- Explaining Monetary Policy in Press Conferences (2018, methodology): “Examples of studies on the Federal Reserve are Thornton (1998), Fleming and Remolona (1999), Kuttner (2001), Cochrane and Piazzesi (2002), Bomfim (2003), Ehrmann and Fratzscher (2004), Rigobon and Sack (2004), and Bernanke and Kuttner (2005).”
- Non-monetary news in central bank communication (2018, result): “(14)While our sample spans the financial crisis period, these results echo the earlier findings of Brand et al. (2010), confirmed more recently by the analysis of Leombroni et al.”
- Interest Rate Expectations in the Media and Central Bank Communication (2013, unknown): “While monitoring and interpreting intraday movements in the EUR-US$ exchange rate, Ehrmann and Fratzscher (2009), Brand et al. (2006) as well as Conrad and Lamla (2010) find similar results.”
- Measuring euro area monetary policy (2019, unknown): “Some of these were studied previously in the literature using the combined press release and press conference windows (such as Andrade and Ferroni, 2016 ) and in the separate windows but not including the QE surprises in the analysis (such as Brand et al., 2010 and Leombroni et al., 2017 ).”
- Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008, unknown): “Brand et al. (2006) make use of the timing details of the ECB’s meeting day communications.”