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- ISIDORE Id: 10670/1.01cc46...
- hal: hal-05097460
http://creativecommons.org/licenses/by-nc-nd/ , info:eu-repo/semantics/OpenAccess
Mots-clés
Term structure Asymmetric effects Central Bank communication Signaling Long-term interest rates E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, Term Structure, and Effects E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their Policies G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest RatesSujets proches
Monetary managementCiter ce document
Paul Hubert et al., « The Signaling Effects of Tightening and Easing Monetary Policy », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.01cc46...
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This paper establishes the asymmetric transmission of monetary policy to euro area nominal yields. We document that the effect of easing monetary surprises is stronger than the effect of monetary tightening. The asymmetry holds beyond the nonlinearities related to the economic or financial environment and does not stem from information effects. We provide evidence that this asymmetry is driven by signals about the future policy path. Decomposing euro area interest rates between common and country-specific components, we show that the common component, likely capturing expectations of future short-term rates, generates the differentiated effects, and risk premium signals amplify the asymmetry. Using textual analysis to extract policymakers’ signals about the future monetary policy space from press conferences, we find that central bank communication can affect this asymmetric transmission to yields. Our results suggest a key role for the signaling channel in determining longterm interest rates.
