Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153226
Authors: 
Coffinet, Jerome
Gouteron, Sylvain
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 792
Abstract: 
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.
Subjects: 
high-frequency data
macroeconomic announcements
money growth
JEL: 
E43
E44
E52
E58
Document Type: 
Working Paper

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