Central Bank Communication and the Yield Curve

Matteo Leombroni, Andrea Vedolin, Gyuri Venter, Paul Whelan

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

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

Citationsformater

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.