Euro area monetary policy effects. Does the shape of the yield curve matter?

• 成果类型: Article
• 署名作者: Odendahl, Florens; Sole Pagliari, Maria; Penalver, Adrian; Rossi, Barbara; Sestieri, Giulia
• 署名单位: Banco de Espana; European Central Bank; De Nederlandsche Bank NV; European Central Bank; Bank of France; ICREA; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103617
• 发表日期: 2024
• 关键词: Monetary policy; euro area; High frequency monetary surprises

摘要

This paper investigates the effects of monetary policy in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. The second contribution is to provide 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. Our third contribution is to show that how the term structure of interest rates changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key macroeconomic variables.