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Euro area monetary policy effects. Does the shape of the yield curve matter?

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  • Odendahl, Florens
  • Pagliari, Maria Sole
  • Penalver, Adrian
  • Rossi, Barbara
  • Sestieri, Giulia

Abstract

This paper investigates the effects of monetary policy in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key macroeconomic variables.

Suggested Citation

  • Odendahl, Florens & Pagliari, Maria Sole & Penalver, Adrian & Rossi, Barbara & Sestieri, Giulia, 2024. "Euro area monetary policy effects. Does the shape of the yield curve matter?," Journal of Monetary Economics, Elsevier, vol. 147(S).
    • Handle: RePEc:eee:moneco:v:147:y:2024:i:s:s0304393224000709
    DOI: 10.1016/j.jmoneco.2024.103617
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    Cited by:

    1. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    2. Altavilla, Carlo & Bussière, Matthieu & Galí, Jordi & Gorodnichenko, Yuriy & Gürkaynak, Refet S. & Rey, Hélène, 2024. "A research program on monetary policy for Europe," Journal of Monetary Economics, Elsevier, vol. 147(S).

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    More about this item

    Keywords

    Monetary policy; Euro area; High frequency monetary surprises;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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