IDEAS home Printed from https://ideas.repec.org/a/bla/buecrs/v76y2024i2p596-625.html
   My bibliography  Save this article

ECB monetary policy communication events: Do they move euro area yields?

Author

Listed:
  • Linas Jurkšas
  • Rokas Kaminskas
  • Deimantė Vasiliauskaitė

Abstract

This study aims to determine and compare the impact of four different types of European Central Bank (ECB) monetary policy communication events on euro area sovereign yields on an intraday basis since 2014. Our paper distinguishes it from similar studies in that we analyze a broad range of ECB communication types. The results reveal that ECB decisions and press conferences have the most substantial intraday impact on normalized sovereign yields while the impact of speeches and accounts appears to be much weaker. Countries with the highest debt levels (such as Italy, Spain, and France) experienced the most robust changes in fiscal costs, while the period encompassing the economic shock induced by the Covid‐19 pandemic shows weaker effects.

Suggested Citation

  • Linas Jurkšas & Rokas Kaminskas & Deimantė Vasiliauskaitė, 2024. "ECB monetary policy communication events: Do they move euro area yields?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 596-625, April.
    • Handle: RePEc:bla:buecrs:v:76:y:2024:i:2:p:596-625
    DOI: 10.1111/boer.12439
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/boer.12439
    Download Restriction: no
    File URL: https://libkey.io/10.1111/boer.12439?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:buecrs:v:76:y:2024:i:2:p:596-625. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0307-3378 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.