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

Guardado en:
Publicado en:PQDT - Global (2025)
Autor principal: Duarte, Tomás Falua
Publicado:
ProQuest Dissertations & Theses
Materias:
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
Acceso en línea:Citation/Abstract
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Resumen: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
Fuente:ProQuest Dissertations & Theses Global