Central Bank Communication and the Yield Curve

Matteo Leombroni, Andrea Vedolin, Gyuri Venter, Paul Whelan

Publikation: KonferencebidragPaperForskningpeer review

Resumé

Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a homogeneous effect across Euro-area sovereign bond yields before the European debt crisis, it drove a wedge between peripheral and core yields afterwards. Guided by the predictions of a theoretical model in which central bank communication reveals information about the state of the economy, we empirically link the periphery-core wedge to break-up and credit risk premia, and show that equity response to shocks can identify the strength of this risk premium channel.
OriginalsprogEngelsk
Publikationsdato2019
Antal sider66
StatusUdgivet - 2019
Begivenhed2019 China International Conference in Finance - Sofitel Guangzhou Sunrich, Guangzhou, Kina
Varighed: 9 jul. 201912 jul. 2019
http://www.cicfconf.org/

Konference

Konference2019 China International Conference in Finance
LokationSofitel Guangzhou Sunrich
LandKina
ByGuangzhou
Periode09/07/201912/07/2019
Internetadresse

Emneord

  • Interest rates
  • Monetary policy
  • Central bank communication
  • Risk premia
  • Eurozone

Citer dette

Leombroni, M., Vedolin, A., Venter, G., & Whelan, P. (2019). Central Bank Communication and the Yield Curve. Afhandling præsenteret på 2019 China International Conference in Finance, Guangzhou, Kina.
Leombroni, Matteo ; Vedolin, Andrea ; Venter, Gyuri ; Whelan, Paul. / Central Bank Communication and the Yield Curve. Afhandling præsenteret på 2019 China International Conference in Finance, Guangzhou, Kina.66 s.
@conference{a9788578ca6e4871ac346efb3920b5fa,
title = "Central Bank Communication and the Yield Curve",
abstract = "Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a homogeneous effect across Euro-area sovereign bond yields before the European debt crisis, it drove a wedge between peripheral and core yields afterwards. Guided by the predictions of a theoretical model in which central bank communication reveals information about the state of the economy, we empirically link the periphery-core wedge to break-up and credit risk premia, and show that equity response to shocks can identify the strength of this risk premium channel.",
keywords = "Interest rates, Monetary policy, Central bank communication, Risk premia, Eurozone, Interest rates, Monetary policy, Central bank communication, Risk premia, Eurozone",
author = "Matteo Leombroni and Andrea Vedolin and Gyuri Venter and Paul Whelan",
year = "2019",
language = "English",
note = "null ; Conference date: 09-07-2019 Through 12-07-2019",
url = "http://www.cicfconf.org/",

}

Leombroni, M, Vedolin, A, Venter, G & Whelan, P 2019, 'Central Bank Communication and the Yield Curve' Paper fremlagt ved 2019 China International Conference in Finance, Guangzhou, Kina, 09/07/2019 - 12/07/2019, .

Central Bank Communication and the Yield Curve. / Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul.

2019. Afhandling præsenteret på 2019 China International Conference in Finance, Guangzhou, Kina.

Publikation: KonferencebidragPaperForskningpeer review

TY - CONF

T1 - Central Bank Communication and the Yield Curve

AU - Leombroni, Matteo

AU - Vedolin, Andrea

AU - Venter, Gyuri

AU - Whelan, Paul

PY - 2019

Y1 - 2019

N2 - Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a homogeneous effect across Euro-area sovereign bond yields before the European debt crisis, it drove a wedge between peripheral and core yields afterwards. Guided by the predictions of a theoretical model in which central bank communication reveals information about the state of the economy, we empirically link the periphery-core wedge to break-up and credit risk premia, and show that equity response to shocks can identify the strength of this risk premium channel.

AB - Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a homogeneous effect across Euro-area sovereign bond yields before the European debt crisis, it drove a wedge between peripheral and core yields afterwards. Guided by the predictions of a theoretical model in which central bank communication reveals information about the state of the economy, we empirically link the periphery-core wedge to break-up and credit risk premia, and show that equity response to shocks can identify the strength of this risk premium channel.

KW - Interest rates

KW - Monetary policy

KW - Central bank communication

KW - Risk premia

KW - Eurozone

KW - Interest rates

KW - Monetary policy

KW - Central bank communication

KW - Risk premia

KW - Eurozone

M3 - Paper

ER -

Leombroni M, Vedolin A, Venter G, Whelan P. Central Bank Communication and the Yield Curve. 2019. Afhandling præsenteret på 2019 China International Conference in Finance, Guangzhou, Kina.