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Euro Area Market Reactions to the Monetary Developments Press Release

  • Coffinet, J.
  • Gouteron, S.

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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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
Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
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