Measuring euro area monetary policy

• 成果类型: Article
• 署名作者: Altavilla, Carlo; Brugnolini, Luca; Gurkaynak, Refet S.; Motto, Roberto; Ragusa, Giuseppe
• 署名单位: European Central Bank; Ihsan Dogramaci Bilkent University; Ihsan Dogramaci Bilkent University; University of Pisa
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.016
• 发表日期: 2019
• 页码: 162-179
• 关键词: G14 ECB Policy surprise; Event-study; Intraday; persistence; asymmetry

摘要

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. (C) 2019 Elsevier B.V. All rights reserved.