The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

37 Pages Posted: 8 Dec 2008

See all articles by Claus Brand

Claus Brand

European Central Bank (ECB)

Daniel Buncic

Stockholm University - Stockholm Business School

Jarkko Turunen

International Monetary Fund

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Date Written: July 8, 2008

Abstract

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.

Keywords: money market rates, yield curve, ECB, central bank communication

JEL Classification: E43, E58

Suggested Citation

Brand, Claus and Buncic, Daniel and Turunen, Jarkko, The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve (July 8, 2008). UNSW Australian School of Business Research Paper No. 2008 ECON 11, Available at SSRN: https://ssrn.com/abstract=1311509 or http://dx.doi.org/10.2139/ssrn.1311509

Claus Brand

European Central Bank (ECB) ( email )

Eurotower
Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany
+0049 69 13440 (Phone)
+0044 69 1344 6000 (Fax)

Daniel Buncic (Contact Author)

Stockholm University - Stockholm Business School

Sweden

Jarkko Turunen

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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