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

被引：0

作者：

Odendahl, Florens ^{[1
]}

Sole Pagliari, Maria ^{[2
]}

Penalver, Adrian ^{[3
]}

Rossi, Barbara ^{[4
,5
,6
]}

Sestieri, Giulia ^{[3
]}

机构：

[1] Banco Espana, Madrid, Spain

[2] Nederlandsche Bank, Amsterdam, Netherlands

[3] Banque France, 31 Rue Croix Petits Champs, F-75049 Paris 01, France

[4] ICREA Univ Pompeu Fabra, Barcelona, Spain

[5] BSE, Barcelona, Spain

[6] CREI, Barcelona, Spain

来源：

JOURNAL OF MONETARY ECONOMICS | 2024年 / 147卷

关键词：

Monetary policy; Euro area; High frequency monetary surprises;

D O I：

10.1016/j.jmoneco.2024.103617

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页数：11

共 16 条

[1] Measuring euro area monetary policy [J].