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The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

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  • Claus Brand

    ()
    (European Central Bank)

  • Daniel Buncic

    ()
    (School of Economics, University of New South Wales)

  • Jarkko Turunen

    ()
    (European Central Bank)

Abstract

We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the ECB, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, while that to policy decisions is downward sloping.

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File URL: http://wwwdocs.fce.unsw.edu.au/economics/Research/WorkingPapers/2008_11.pdf
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Bibliographic Info

Paper provided by School of Economics, The University of New South Wales in its series Discussion Papers with number 2008-11.

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Length: 37 pages
Date of creation: Aug 2008
Date of revision:
Handle: RePEc:swe:wpaper:2008-11

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Keywords: money market rates; yield curve; ECB; central bank communication;

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