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Euro-Area Yield Curve Reaction to Monetary News

Author

Listed:
  • Coffinet Jèrôme

    (Banque de France,Paris, France)

  • Gouteron Sylvain

    (European Central Bank,Frankfurt, Germany)

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.

Suggested Citation

  • Coffinet Jèrôme & Gouteron Sylvain, 2010. "Euro-Area Yield Curve Reaction to Monetary News," German Economic Review, De Gruyter, vol. 11(2), pages 208-224, May.
    • Handle: RePEc:bpj:germec:v:11:y:2010:i:2:p:208-224
    DOI: 10.1111/j.1468-0475.2009.00474.x
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    Cited by:

    1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    2. Alexander Jung, 2018. "Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(1), pages 39-67, February.
    3. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "Was bewegt den DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
    4. Jung, Alexander, 2016. "Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?," Working Paper Series 1926, European Central Bank.

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