Measuring Euro Area Monetary Policy
44 Pages Posted: 11 Jun 2019 Last revised: 4 Oct 2019
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Measuring Euro Area Monetary Policy
Measuring Euro Area Monetary Policy
Measuring Euro Area Monetary Policy
Date Written: May 2019
Abstract
We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event- Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event.
Keywords: Asymmetry, ECB policy surprise, Event-Study, intraday, Persistence
JEL Classification: E43, E44, E52, E58, G12, G14
Suggested Citation: Suggested Citation
Roberto Motto
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Postfach 16 03 19
D-60311 Frankfurt am Main
Germany
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Measuring Euro Area Monetary Policy
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