Monetary Policy Surprises Over Time

55 Pages Posted: 5 Apr 2017

Date Written: February 23, 2017


We document how the impact of monetary surprises in the euro area and the US on financial markets has changed since 1999. We use a definition of monetary policy surprises that singles out movements in the long end of the yield curve, rather than those that change nearby futures on the central bank reference rates. By focusing only on this component of monetary policy our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect shifts in sovereign spreads and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.

Keywords: monetary policy surprises, unconventional monetary policy

JEL Classification: E44, E52, F31, G14

Suggested Citation

Pericoli, Marcello and Veronese, Giovanni Furio, Monetary Policy Surprises Over Time (February 23, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1102, Available at SSRN: or

Marcello Pericoli

Bank of Italy ( email )

Via Nazionale 91
00184 Roma


Giovanni Furio Veronese (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
+49 621 189 1886 (Phone)
+49 621 189 1884 (Fax)

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