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The effect of ECB forward guidance on the Euro Area yield curve
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Resumo(s)
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.
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Palavras-chave
Term structure of interest rates Unconventional monetary policy Forward guidance High-frequency Persistence