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The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

Author

Listed:
  • Claus Brand

    (European Central Bank)

  • Daniel Buncic

    (School of Economics, University of New South Wales)

  • Jarkko Turunen

    (European Central Bank)

Abstract

We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the ECB, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, while that to policy decisions is downward sloping.

Suggested Citation

  • Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales.
    • Handle: RePEc:swe:wpaper:2008-11
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    References listed on IDEAS

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    More about this item

    Keywords

    money market rates; yield curve; ECB; central bank communication;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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