{"title":"欧元区货币政策效应。收益率曲线的形状重要吗？","authors":"","doi":"10.1016/j.jmoneco.2024.103617","DOIUrl":null,"url":null,"abstract":"<div><p>This paper investigates the effects of monetary policy<span><span> in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy<span> events to shed light on the efficacy of monetary policy<span>. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates<span> changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key </span></span></span></span>macroeconomic variables.</span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103617"},"PeriodicalIF":4.3000,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Euro area monetary policy effects. Does the shape of the yield curve matter?\",\"authors\":\"\",\"doi\":\"10.1016/j.jmoneco.2024.103617\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper investigates the effects of monetary policy<span><span> in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy<span> events to shed light on the efficacy of monetary policy<span>. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates<span> changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key </span></span></span></span>macroeconomic variables.</span></p></div>\",\"PeriodicalId\":48407,\"journal\":{\"name\":\"Journal of Monetary Economics\",\"volume\":\"147 \",\"pages\":\"Article 103617\"},\"PeriodicalIF\":4.3000,\"publicationDate\":\"2024-06-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Monetary Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304393224000709\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Monetary Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304393224000709","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Euro area monetary policy effects. Does the shape of the yield curve matter?
This paper investigates the effects of monetary policy in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key macroeconomic variables.
期刊介绍：
The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.
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