ECB monetary communications: Market fragmentation at stake

Jouvanceau, Valentin; Mikaliunaite, Ieva

doi:10.1016/j.econlet.2023.111050

Cited by 3 publications

(2 citation statements)

References 8 publications

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“…Importantly, the result of the relatively small effect of the German bunds market holds even though we normalize the yield changes with the unit standard deviations for each market. Heterogeneous monetary policy communication effects across markets are also analyzed by Jouvanceau and Mikaliūnaitė (2020) and Leombroni et al. (2021), showing additional risk and perception‐related factors are at play and driving spreads.…”

Section: Resultsmentioning

confidence: 95%

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ECB monetary policy communication events: Do they move euro area yields?

Jurkšas,

Kaminskas,

Vasiliauskaitė

2024

Bulletin of Econ Res

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This study aims to determine and compare the impact of four different types of European Central Bank (ECB) monetary policy communication events on euro area sovereign yields on an intraday basis since 2014. Our paper distinguishes it from similar studies in that we analyze a broad range of ECB communication types. The results reveal that ECB decisions and press conferences have the most substantial intraday impact on normalized sovereign yields while the impact of speeches and accounts appears to be much weaker. Countries with the highest debt levels (such as Italy, Spain, and France) experienced the most robust changes in fiscal costs, while the period encompassing the economic shock induced by the Covid‐19 pandemic shows weaker effects.

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Section: Resultsmentioning

confidence: 95%

“…However, from 2014 to 2018 they were far less common, with standard monetary policy reaction dominating. Jouvanceau and Mikaliūnaitė (2020) add additional insights by identifying “perception” shock. It is characterized as monetary policy shock, but with an amplified reaction on riskier interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%