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Journal articles
The Effect of ECB Forward Guidance on the Term Structure of Interest Rates
Abstract : 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.
Keywords :
European central bank
Guidance
https://hal-sciencespo.archives-ouvertes.fr/hal-03457846
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Submitted on : Tuesday, November 30, 2021 - 5:26:24 PM
Last modification on : Friday, March 25, 2022 - 3:58:37 AM
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Tuesday, November 30, 2021 - 5:26:24 PM
Last modification on : Friday, March 25, 2022 - 3:58:37 AM
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