Work

Measuring euro area monetary policy

Year: 2019

Type: article

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.

Source: Journal of Monetary Economics

DOI: 10.1016/j.jmoneco.2019.08.016

Authors: Carlo Altavilla, Luca Brugnolini, Refet S. Gürkaynak, Roberto Motto, Giuseppe Ragusa

Institutions: European Central Bank, Bilkent University, University of Pisa

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $1,800

Funders: European Commission, European Central Bank, European Research Council, Horizon 2020