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The impact of ECB monetary policy decisions and communication on the yield curve

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  • Brand, Claus
  • Buncic, Daniel
  • Turunen, Jarkko

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. JEL Classification: E43, E58

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0657.

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Date of creation: Jul 2006
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Handle: RePEc:ecb:ecbwps:20060657

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Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
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Keywords: central bank communication; ECB; Money market rates; yield curve;

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