Add to ORKGWe map ECB policy communications onto yield curve changes and study the information flow on monetary policy decision dates. We find that different monetary policy measures exert effects on different segments of the interest rate term structure, with policy rate changes mostly influencing the short end of the curve and quantitative easing measures acting more on the long end. The impact of forward guidance policies, by contrast, reaches its peak at intermediate maturities. A very useful by-product of this work is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes
The data were used to estimate (communication) reaction functions of the ECB, sample 1999 to 2018, m...
This paper examines bond and stock market volatility reactions in the euro area and the US following...
This paper analyzes the impact of the unconventional monetary policy measures implemented by the Eur...
We map ECB policy communications onto yield curve changes and study the information flow on monetary...
We study the information flow from the ECB on policy dates since its inception, using tick data. We ...
We map ECB policy communication into yield curve changes and study the information flow on policy da...
Using intraday data, we assess the impact of monetary news on the full length of the euro-area yield...
Abstract World markets are highly interconnected, and the actions and statements of the central bank...
This paper analyses the level of impact that the European Central Bank’s (ECB) policy rates decided ...
Using intra-day data, we assess the impact of the press release on euro area monetary data on the di...
UnrestrictedThere are two separate literatures studying the bidirectional relationship between monet...
Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward g...
Many doubt monetary data adds information to the markets, but Alexander Jung demonstrates it doe
This article examines the magnitude of stock market reactions around European Cen-tral Bank (ECB) mo...
This paper investigates the reactions of markets to the monetary policy deci-sions of their own cent...
The data were used to estimate (communication) reaction functions of the ECB, sample 1999 to 2018, m...
This paper examines bond and stock market volatility reactions in the euro area and the US following...
This paper analyzes the impact of the unconventional monetary policy measures implemented by the Eur...
We map ECB policy communications onto yield curve changes and study the information flow on monetary...
We study the information flow from the ECB on policy dates since its inception, using tick data. We ...
We map ECB policy communication into yield curve changes and study the information flow on policy da...
Using intraday data, we assess the impact of monetary news on the full length of the euro-area yield...
Abstract World markets are highly interconnected, and the actions and statements of the central bank...
This paper analyses the level of impact that the European Central Bank’s (ECB) policy rates decided ...
Using intra-day data, we assess the impact of the press release on euro area monetary data on the di...
UnrestrictedThere are two separate literatures studying the bidirectional relationship between monet...
Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward g...
Many doubt monetary data adds information to the markets, but Alexander Jung demonstrates it doe
This article examines the magnitude of stock market reactions around European Cen-tral Bank (ECB) mo...
This paper investigates the reactions of markets to the monetary policy deci-sions of their own cent...
The data were used to estimate (communication) reaction functions of the ECB, sample 1999 to 2018, m...
This paper examines bond and stock market volatility reactions in the euro area and the US following...
This paper analyzes the impact of the unconventional monetary policy measures implemented by the Eur...