The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study

被引：22
作者：
Ambler, Steve [1 ,2 ]
Rumler, Fabio [3 ]
机构：
[1] Univ Quebec Montreal, ESG UQAM, CP 8888 Succ Ctr Ville, Montreal, PQ H3C 3P8, Canada
[2] Univ Quebec Montreal, CD Howe Inst, Sci Econ, CP 8888 Succ Ctr Ville, Montreal, PQ H3C 3P8, Canada
[3] Oesterreich Nationalbank, Econ Anal Div, Otto Wagner Pl 3, A-1090 Vienna, Austria
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2019年 / 94卷
关键词：
Unconventional monetary policy; Announcement effects; Market-based inflation expectations; Real yields; INTEREST-RATES; IDENTIFICATION;
D O I：
10.1016/j.jimonfin.2019.02.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We use daily data on government bond yields and market-based inflation expectations to measure the announcement effects of unconventional monetary policy announcements in the euro area, focusing on their impact on ex-ante real interest rates. We find evidence of statistically significant effects of several announcements on real interest rates at maturities of two, five and ten years that operate partly through nominal interest rates and partly by raising inflation expectations. Announcements that exceeded market expectations significantly reduced nominal and real interest rates while announcements that disappointed expectations had the opposite effect. (C) 2019 Elsevier Ltd. All rights reserved.
引用
收藏
页码：48 / 61
页数：14
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