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The effect of ECB forward guidance on the term structure of interest rates

 

Notice

Type:   Article
 
Titre:   The effect of ECB forward guidance on the term structure of interest rates
 
Auteur(s):   Hubert, Paul (1983-...) - Observatoire français des conjonctures économiques (Auteur)
Labondance, Fabien - Observatoire français des conjonctures économiques (Auteur)
 
In:   International Journal of Central Banking
 
Date de publication:   2018-12
 
Volume:   14
 
Numéro:   5
 
Pages:   193-222  p.
 
ISSN:   18154654
 
Mots-clés:   [fr] Interest rates [en] European central bank, Guidance
 
JEL:   E43,  E52,  E58
 
Résumé:   [en] 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
 
URL:   https://www.ijcb.org/journal/ijcb18q4a5.pdf
 
 

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