Publicação
The effect of ECB forward guidance on the Euro Area yield curve
| Resumo: | This paper focuses on the instantaneous and persistent impacts of ECB forward guidance on the euro area term structure of interest rates. A high-frequency event-study method is employed to uncover the response of euro OIS rates to forward guidance through an ARCH model and local projections. Results indicate forward guidance lowers the term structure across all maturities, with a stronger impact on longer horizons. This effect proves to be persistent. Robustness to including ECB and private information sets suggests ECB forward guidance is interpreted as a stance on future monetary policy, rather than a signal of the macroeconomic outlook. |
|---|---|
| Autores principais: | Duarte, Tomás Falua |
| Assunto: | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868983917499908096 |
|---|---|
| author | Duarte, Tomás Falua |
| author_facet | Duarte, Tomás Falua |
| author_role | author |
| contributor_name_str_mv | Franco, Francesco RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Duarte, Tomás Falua\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Franco, Francesco RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Duarte, Tomás Falua |
| datacite.date.Accepted.fl_str_mv | 2025-01-15T00:00:00Z |
| datacite.date.available.fl_str_mv | 2025-03-28T16:23:08Z |
| datacite.date.embargoed.fl_str_mv | 2025-03-28T16:23:08Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| datacite.titles.title.fl_str_mv | The effect of ECB forward guidance on the Euro Area yield curve |
| dc.contributor.none.fl_str_mv | Franco, Francesco RUN |
| dc.creator.none.fl_str_mv | Duarte, Tomás Falua |
| dc.date.Accepted.fl_str_mv | 2025-01-15T00:00:00Z |
| dc.date.available.fl_str_mv | 2025-03-28T16:23:08Z |
| dc.date.embargoed.fl_str_mv | 2025-03-28T16:23:08Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/181613 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| dc.title.fl_str_mv | The effect of ECB forward guidance on the Euro Area yield curve |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This paper focuses on the instantaneous and persistent impacts of ECB forward guidance on the euro area term structure of interest rates. A high-frequency event-study method is employed to uncover the response of euro OIS rates to forward guidance through an ARCH model and local projections. Results indicate forward guidance lowers the term structure across all maturities, with a stronger impact on longer horizons. This effect proves to be persistent. Robustness to including ECB and private information sets suggests ECB forward guidance is interpreted as a stance on future monetary policy, rather than a signal of the macroeconomic outlook. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/e2d768ed-497e-4c16-b476-dcb3b682d907/download |
| id | run_5d1176040ec74bcd3024237d41bfc3e4 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/181613 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/181613 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Duarte, Tomás Falua |
| publishDate | 2025 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTThis paper focuses on the instantaneous and persistent impacts of ECB forward guidance on the euro area term structure of interest rates. A high-frequency event-study method is employed to uncover the response of euro OIS rates to forward guidance through an ARCH model and local projections. Results indicate forward guidance lowers the term structure across all maturities, with a stronger impact on longer horizons. This effect proves to be persistent. Robustness to including ECB and private information sets suggests ECB forward guidance is interpreted as a stance on future monetary policy, rather than a signal of the macroeconomic outlook.application/pdfpt_PTThe effect of ECB forward guidance on the Euro Area yield curveDuarte, Tomás FaluaFranco, FrancescoHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2039251902025-03-28T16:23:08Z2025-01-152025-01-152025-01-15T00:00:00ZHandlehttp://hdl.handle.net/10362/181613http://purl.org/coar/access_right/c_abf2open accessTerm structure of interest ratesUnconventional monetary policyForward guidanceHigh-frequencyPersistence647353 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/e2d768ed-497e-4c16-b476-dcb3b682d907/download |
| spellingShingle | The effect of ECB forward guidance on the Euro Area yield curve Duarte, Tomás Falua Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| status | SINGLETON |
| subject.fl_str_mv | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| title | The effect of ECB forward guidance on the Euro Area yield curve |
| title_full | The effect of ECB forward guidance on the Euro Area yield curve |
| title_fullStr | The effect of ECB forward guidance on the Euro Area yield curve |
| title_full_unstemmed | The effect of ECB forward guidance on the Euro Area yield curve |
| title_short | The effect of ECB forward guidance on the Euro Area yield curve |
| title_sort | The effect of ECB forward guidance on the Euro Area yield curve |
| topic | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| topic_facet | Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence |
| url | http://hdl.handle.net/10362/181613 |
| visible | 1 |