The Effect of ECB Forward Guidance on the Euro Area Yield Curve

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Publicat a:	PQDT - Global (2025)
Autor principal:	Duarte, Tomás Falua
Publicat:	ProQuest Dissertations & Theses
Matèries:	Monetary policy Macroeconomics Federal funding Lagrange multiplier Communication Securities markets Asset acquisitions Volatility Press conferences Decomposition Prices Gross Domestic Product > GDP Yield curve Inflation International finance Central banks Interest rates Risk premiums Eurozone Banking Economics Finance Mathematics
Accés en línia:	Citation/Abstract Full Text - PDF
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Descripció
Resum:	This paper focuses on the instantaneous and persistent impacts of ECB forward guidance on the euro area term structure of interest rates. A high-frequency event-study method is employed to uncover the response of euro OIS rates to forward guidance through an ARCH model and local projections. Results indicate forward guidance lowers the term structure across all maturities, with a stronger impact on longer horizons. This effect proves to be persistent. Robustness to including ECB and private information sets suggests ECB forward guidance is interpreted as a stance on future monetary policy, rather than a signal of the macroeconomic outlook.
ISBN:	9798286408290
Font:	ProQuest Dissertations & Theses Global