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

39 Pages Posted: 2 Aug 2006

See all articles by Claus Brand

Claus Brand

European Central Bank (ECB)

Daniel Buncic

Stockholm University - Stockholm Business School

Jarkko Turunen

International Monetary Fund

Multiple version iconThere are 2 versions of this paper

Date Written: July 2006

Abstract

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The indicators show that ECB communication during the press conference may result in significant changes in market expectations of the path of monetary policy. Furthermore, our results suggest that these changes have a significant and sizeable impact on medium to long-term interest rates.

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 2006). ECB Working Paper No. 657, Available at SSRN: https://ssrn.com/abstract=913330

Claus Brand (Contact Author)

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

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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