Sensitivity of the Euro OIS Term Structure to ECB Policy Rate Surprises

We analyze the sensitivity of the euro-area yield curve to revisions in market expectations of the ECB policy rate. Using changes in the maintenance-period forward OIS as a market-based measure of policy-rate surprises, we document that yield responses vary systematically across maturities. To interpret these patterns, we adopt a short-rate model with stochastic jumps occurring only at scheduled ECB meeting dates and derive closed-form expressions for the condi- tional sensitivity of yields to changes in the expected jump size. We compare the model-implied term-structure responses with realized yield changes on days of large revisions in expectations. The model reproduces the cross-sectional shape and magnitude of observed sensitivities, especially the pronounced peak at intermediate maturities, underscoring the importance of incorporating scheduled jump times when modeling interest-rate dynamics.