Measuring Euro Area Monetary Policy

Gürkaynak, Refet, Carlo Altavilla, Luca Brugnolini, Roberto Motto and Giuseppe Ragusa ()
Authors registered in the RePEc Author Service: Refet S. Gürkaynak

No 13759, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Ecb policy surprise; Event-study; Intraday; Persistence; Asymmetry (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (340)

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Related works:
Journal Article: Measuring euro area monetary policy (2019)
Working Paper: Measuring Euro Area Monetary Policy (2019)
Working Paper: Measuring euro area monetary policy (2019)
Working Paper: Measuring euro area monetary policy (2019)
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