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Euro-Area Yield Curve Reaction to Monetary News

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  • Jér�me Coffinet
  • Sylvain Gouteron

Abstract

Using intraday data, we assess the impact of monetary news on the full length of the euro-area yield curve. We find that the publication of monetary data has a significant impact on interest rates with maturities ranging from one to ten years, with the largest effect on the one- to five-year segment. These results suggest that when gauging the policy-relevant signals, market participants look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term. Copyright 2009 The Authors. Journal Compilation Verein für Socialpolitik and Blackwell Publishing Ltd. 2009.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0475.2009.00473.x
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Bibliographic Info

Article provided by Verein für Socialpolitik in its journal German Economic Review.

Volume (Year): 11 (2010)
Issue (Month): (05)
Pages: 208-224

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Handle: RePEc:bla:germec:v:11:y:2010:i::p:208-224

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  1. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York.
  2. Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz.
  3. Coffinet, J. & Gouteron, S., 2007. "Euro Area Market Reactions to the Monetary Developments Press Release," Working papers 183, Banque de France.
  4. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  5. Claus Brand & Daniel Buncic & Jarkko Turunen, 2006. "The impact of ECB monetary policy decisions and communication on the yield curve," Working Paper Series 657, European Central Bank.
  6. Michael Ehrmann & Marcel Fratzscher, 2004. "Equal size, equal role? interest rate interdependence between the euro area and the United States," International Finance Discussion Papers 800, Board of Governors of the Federal Reserve System (U.S.).
  7. Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
  8. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
  9. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Understanding the Link between Money Growth and Inflation in the Euro Area," CEPR Discussion Papers 5683, C.E.P.R. Discussion Papers.
  10. Annick Bruggeman & Gonzalo Camba-Méndez & Björn Fischer & João Sousa, 2005. "Structural filters for monetary analysis - the inflationary movements of money in the euro area," Working Paper Series 470, European Central Bank.
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