The impact of ECB monetary policy decisions and communication on the yield curve
In: Working paper series No. 657
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In: Working paper series No. 657
In: Working paper series 254
In: Background study for the evaluation of the ECB's monetary policy strategy
In: Contributions to Economics
The book considers issues relevant to the European Central Bank in refining and communicating its strategy. It offers a historical assessment of the Bundesbank's strategy of monetary targeting conducted from 1974 to 1998. In contrast to several other prominent studies it is argued that money played a flexible but very important role in the conduct of its policy. It also explores the implications of the identified monetary policy regime in the context of various theories of the money supply process. The empirical analysis conducted in this study is based on a linear state space modelling approach which offers an appealing and direct representation of common stochastic trends. The framework is less restrictive and it is encompassing in that it does not construe the persistent dynamics as being driven by pure random walk components
In: ECB Working Paper No. 2257 (2019); ISBN 978-92-899-3519-7
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In: ECB Working Paper No. 2021/2612
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In: ECB Occasional Paper No. 217 (2018); ISBN 978-92-899-3376-6
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We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The indicators show that ECB communication during the press conference may result in significant changes in market expectations of the path of monetary policy. Furthermore, our results suggest that these changes have a significant and sizeable impact on medium to long-term interest rates.
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In: ECB Working Paper No. 657
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In: ECB Working Paper No. 2232 (2019) ISBN 978-92-899-3494-7
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Working paper
In: ECB Occasional Paper No. 2021272
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In: ECB Occasional Paper No. 2021/275
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In: ECB Occasional Paper No. 2021269
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In: ECB Occasional Paper No. 2023/272
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