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Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?

Author

Listed:
  • Florens Odendahl
  • Maria Sole Pagliari
  • Adrian Penalver
  • Barbara Rossi
  • Giulia Sestieri
Abstract
This paper investigates the effects of monetary policy in the euro area. We make three main contributions to the literature. First, we use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. Second, we construct 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. Third, we show that the way conventional and unconventional monetary policy announcements shape expectations inherent in the term structure influences the response of key macroeconomic variables.

Suggested Citation

  • Florens Odendahl & Maria Sole Pagliari & Adrian Penalver & Barbara Rossi & Giulia Sestieri, 2023. "Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?," Working papers 912, Banque de France.
    • Handle: RePEc:bfr:banfra:912
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    References listed on IDEAS

    as
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    5. Klodiana Istrefi & Florens Odendahl & Giulia Sestieri, 2022. "ECB Communication and its Impact on Financial Markets," Working papers 859, Banque de France.
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    More about this item

    Keywords

    Monetary Policy; Euro Area; Quantitative Easing;
    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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