The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
37 Pages Posted: 8 Dec 2008
Date Written: July 8, 2008
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: Suggested Citation