Central bank communication and the yield curve

• 成果类型: Article
• 署名作者: Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
• 署名单位: Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University; Boston University; University of Warwick; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.036
• 发表日期: 2021
• 页码: 860-880
• 关键词: Interest rates; monetary policy; Central bank communication; Eurozone

摘要

In this paper, we argue that monetary policy in the form of central bank communication can shape long-term interest rates by changing risk premia. Using high-frequency movements of default-free rates and equity, we show that monetary policy communications by the European Central Bank on regular announcement days led to a significant yield spread between peripheral and core countries during the European sovereign debt crisis by increasing credit risk premia. We also show that central bank communication has a powerful impact on the yield curve outside regular monetary policy days. We interpret these findings through the lens of a model linking information embedded in central bank communication to sovereign yields. (c) 2021 Published by Elsevier B.V.