Published in:Banque de France Working Paper ; No. NER-E183
Extent:
1 Online-Ressource (46 p)
Language:
English
DOI:
10.2139/ssrn.1689024
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2007 erstellt
Description:
Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals