The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study
The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study
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DOI：
10.1016/j.jimonfin.2019.02.007
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发表时间：
2019-06-01
影响因子：
2.5
通讯作者：
Rumler, Fabio
中科院分区：
文献类型：
--
作者：
Ambler, Steve;Rumler, Fabio
我们使用政府债券收益率和基于市场的通胀预期的日常数据来衡量欧元区非常规货币政策宣布的影响，重点关注它们对事前实际利率的影响。我们发现有证据表明，几项公告对2年期、5年期和10年期的实际利率产生了统计上显著的影响，这些影响部分是通过名义利率，部分是通过提高通胀预期来实现的。超出市场预期的公告显著降低了名义利率和实际利率，而低于市场预期的公告则产生相反的效果。(C) 2019 Elsevier Ltd.版权所有。
We use daily data on government bond yields and market-based inflation expectations to measure the announcement effects of unconventional monetary policy announcements in the euro area, focusing on their impact on ex-ante real interest rates. We find evidence of statistically significant effects of several announcements on real interest rates at maturities of two, five and ten years that operate partly through nominal interest rates and partly by raising inflation expectations. Announcements that exceeded market expectations significantly reduced nominal and real interest rates while announcements that disappointed expectations had the opposite effect. (C) 2019 Elsevier Ltd. All rights reserved.