Journal
JOURNAL OF MONETARY ECONOMICS
Volume 108, Issue -, Pages 162-179Publisher
ELSEVIER
DOI: 10.1016/j.jmoneco.2019.08.016
Keywords
G14 ECB Policy surprise; Event-study; Intraday; Persistence; Asymmetry
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Funding
- European Research Council (ERC) under the European Union [726400]
- European Research Council (ERC) [726400] Funding Source: European Research Council (ERC)
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We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event. (C) 2019 Elsevier B.V. All rights reserved.
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