| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13759 |
| DP13759 Measuring Euro Area Monetary Policy | |
| Carlo Altavilla; Luca Brugnolini; Refet Gürkaynak; Roberto Motto; Giuseppe Ragusa | |
| 发表日期 | 2019-05-27 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event- Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Ecb policy surprise Event-study Intraday Persistence Asymmetry |
| URL | https://cepr.org/publications/dp13759-0 |
| 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/542624 |
| 推荐引用方式 GB/T 7714 | Carlo Altavilla,Luca Brugnolini,Refet Gürkaynak,et al. DP13759 Measuring Euro Area Monetary Policy. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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