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Licensed Unlicensed Requires Authentication Published by De Gruyter November 30, 2019

Euro-Area Yield Curve Reaction to Monetary News

  • Jèrôme Coffinet and Sylvain Gouteron
From the journal German Economic Review

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.

Published Online: 2019-11-30
Published in Print: 2010-05-01

© 2019 by Walter de Gruyter Berlin/Boston

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