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- ISIDORE Id: 10670/1.764ed5...
- hal: hal-03457846
- SCIENCESPO: 2441/61ma1iq1299m89uud61kkjcjot
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Mots-clés
European central bank Guidance 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 PoliciesSujets proches
Money market rates Rates, Interest Rate of interestCiter ce document
Paul Hubert et al., « The Effect of ECB Forward Guidance on the Term Structure of Interest Rates », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.764ed5...
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Résumé
This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of interest rates. We estimate the static and dynamic impacts of forward guidance on overnight indexed swaps (OIS) rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements have lowered the term structure of private short-term interest rates at most maturities, even after controlling for the macroeconomic information published by the ECB. The effect is stronger on longer maturities and persistent.
