The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
39 Pages Posted: 2 Aug 2006
Date Written: July 2006
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: Suggested Citation