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ECB monetary policy communication events: Do they move euro area yields?

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  • Linas Jurkšas
  • Rokas Kaminskas
  • Deimantė Vasiliauskaitė

Abstract

This study aims to determine and compare the impact of four different types of European Central Bank (ECB) monetary policy communication events on euro area sovereign yields on an intraday basis since 2014. Our paper distinguishes it from similar studies in that we analyze a broad range of ECB communication types. The results reveal that ECB decisions and press conferences have the most substantial intraday impact on normalized sovereign yields while the impact of speeches and accounts appears to be much weaker. Countries with the highest debt levels (such as Italy, Spain, and France) experienced the most robust changes in fiscal costs, while the period encompassing the economic shock induced by the Covid‐19 pandemic shows weaker effects.

Suggested Citation

  • Linas Jurkšas & Rokas Kaminskas & Deimantė Vasiliauskaitė, 2024. "ECB monetary policy communication events: Do they move euro area yields?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 596-625, April.
    • Handle: RePEc:bla:buecrs:v:76:y:2024:i:2:p:596-625
    DOI: 10.1111/boer.12439
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