Measuring Euro Area Monetary Policy

Carlo Altavilla, Luca Brugnolini, R. Gürkaynak, Roberto Motto, Giuseppe Ragusa
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引用次数: 265

Abstract

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that Forward Guidance and QE effects have been very persistent on the longer-end of the yield curve. We further show that broad and banking stock indices' responses to monetary policy surprises depended on the perceived nature of the surprises. We find no evidence of asymmetric responses of financial markets to positive and negative surprises, in contrast to the literature on asymmetric real effects of monetary policy. Lastly, we show how to implement our methodology for any policy-related news release, such as policymaker speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database, which contains intraday asset price changes around the policy decision announcement as well as around the press conference, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.
衡量欧元区货币政策
我们使用tick数据研究了自欧洲央行成立以来有关政策日期的信息流。我们展示了三个因素捕获了收益率曲线上的所有变化但这些不同的因素在包含政策决定公告和包含新闻发布会的窗口中具有不同的方差份额。我们还表明,与量化宽松相关的政策因素在最近一段时间内占据主导地位,前瞻指引和量化宽松对收益率曲线较长期端的影响非常持久。我们进一步表明,广义和银行股指数对货币政策意外的反应取决于对意外的感知性质。与有关货币政策实际影响不对称的文献相比,我们没有发现金融市场对积极和消极意外的不对称反应的证据。最后,我们将展示如何为任何与政策相关的新闻发布(如政策制定者演讲)实现我们的方法。为了进行分析,我们构建了欧元区货币政策事件研究数据库(EA-MPD)。这个数据库包含了政策决定宣布前后以及新闻发布会前后的日内资产价格变化,它本身就是一个贡献,我们希望它成为欧元区货币政策研究的标准。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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