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Euro Area Market Reactions to the Monetary Developments Press Release

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  • Coffinet, J.
  • Gouteron, S.

Abstract

Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 183.

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Length: 42 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bfr:banfra:183

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Web page: http://www.banque-france.fr/
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Related research

Keywords: High-frequency data ; Macroeconomic announcements ; Money growth.;

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Cited by:
  1. Jér�me Coffinet & Sylvain Gouteron, 2010. "Euro-Area Yield Curve Reaction to Monetary News," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 11, pages 208-224, 05.
  2. Jakob de Haan & David-Jan Jansen, 2009. "The communication policy of the European Central Bank: An overview of the first decade," DNB Working Papers, Netherlands Central Bank, Research Department 212, Netherlands Central Bank, Research Department.
  3. Jakob Haan, 2008. "The effect of ECB communication on interest rates: An assessment," The Review of International Organizations, Springer, vol. 3(4), pages 375-398, December.
  4. Coffinet, J. & Frappa, S., 2008. "Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area," Working papers 220, Banque de France.
  5. Martin Cihák & Katerina Smídková & Ales Bulir, 2008. "Writing Clearly," IMF Working Papers 08/252, International Monetary Fund.

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