| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12970 |
| DP12970 Central Bank Communication and the Yield Curve | |
| Matteo Leombroni; Andrea Vedolin; Paul Whelan | |
| 发表日期 | 2018-06-04 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Using the institutional features of ECB monetary policy announcements, we provide direct evidence for the risk premium channel of central bank communication. We show that on days when the ECB announces its monetary policy almost all of the variation of bond yields is driven by communication. Moreover, while the effect of monetary policy is homogeneous across countries before the European debt crisis, we document dramatic differences post crisis and show that communication shocks drive a wedge between peripheral and core yields. We empirically link the periphery-core wedge to break-up and credit risk premia, and study this channel theoretically through the lens of an equilibrium model in which central bank communication reveals information about the state of the economy. |
| 主题 | Financial Economics |
| 关键词 | Interest rates monetary policy Central bank communication Risk premia Eurozone |
| URL | https://cepr.org/publications/dp12970 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541778 |
| 推荐引用方式 GB/T 7714 | Matteo Leombroni,Andrea Vedolin,Paul Whelan. DP12970 Central Bank Communication and the Yield Curve. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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