Central Bank Communication and the Yield Curve

Matteo Leombroni, Andrea Vedolin, Gyuri Venter, Paul Whelan

Research output: Contribution to conferencePaperResearchpeer-review

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.
Original languageEnglish
Publication date2019
Number of pages66
Publication statusPublished - 2019
Event2019 China International Conference in Finance - Sofitel Guangzhou Sunrich, Guangzhou, China
Duration: 9 Jul 201912 Jul 2019
http://www.cicfconf.org/

Conference

Conference2019 China International Conference in Finance
LocationSofitel Guangzhou Sunrich
CountryChina
CityGuangzhou
Period09/07/201912/07/2019
Internet address

Keywords

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

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