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

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-06-13 DOI:10.1016/j.jmoneco.2024.103617

引用次数: 0

Abstract

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.

查看原文本刊更多论文

欧元区货币政策效应。收益率曲线的形状重要吗？

本文研究了欧元区货币政策的影响。我们对相关文献做出了三点贡献。首先是利用货币政策事件前后整个收益率曲线的变动信息来揭示货币政策的效果。第二个贡献是根据欧元区 OIS 远期利率和法国、德国、意大利和西班牙主权收益率的日内报价，提供了一个新颖且易于更新的意外数据库。我们的第三个贡献是证明了利率的期限结构如何随常规和非常规货币政策的宣布而变化，这对形成关键宏观经济变量的反应至关重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.