Euro-Area Yield Curve Reaction to Monetary News

Jèrôme Coffinet 1  and Sylvain Gouteron 2
  • 1 Banque de France,, Paris, France
  • 2 European Central Bank,, Frankfurt, Germany

Abstract

Using intraday data, we assess the impact of monetary news on the full length of the euro-area yield curve. We find that the publication of monetary data has a significant impact on interest rates with maturities ranging from one to ten years, with the largest effect on the one- to five-year segment. These results suggest that when gauging the policy-relevant signals, market participants look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term.

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