Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208315
Authors: 
Altavilla, Carlo
Brugnolini, Luca
Gürkaynak, Refet S.
Motto, Roberto
Ragusa, Giuseppe
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2281
Abstract: 
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that Forward Guidance and QE effects have been very persistent on the longer-end of the yield curve. We further show that broad and banking stock indices' responses to monetary policy surprises depended on the perceived nature of the surprises. We find no evidence of asymmetric responses of financial markets to positive and negative surprises, in contrast to the literature on asymmetric real effects of monetary policy. Lastly, we show how to implement our methodology for any policy-related news release, such as policymaker speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database, which contains intraday asset price changes around the policy decision announcement as well as around the press conference, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.
Subjects: 
ECB policy surprise
event-study
intraday
persistence
asymmetry
JEL: 
E43
E44
E52
E58
G12
G14
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3543-2
Document Type: 
Working Paper

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