期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2008
卷号：2008
出版社：Sydney
摘要：We use intraday changes in money market rates to construct indicators of news
about monetary policy stemming separately from policy decisions and from official
communication of the ECB, and study their impact on the yield curve. We show that
communication may lead to substantial revisions in expectations of monetary policy
and, at the same time, exert a significant impact on interest rates at longer maturities.
Thereby, the maturity response pattern to communication is hump-shaped, while that
to policy decisions is downward sloping.
关键词：money market rates, yield curve, ECB, central bank communication.
