NDLI: Monetary Policy Surprises Over Time

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Monetary Policy Surprises Over Time

Content Provider	Scilit
Author	Pericoli, Marcello Veronese, Giovanni
Copyright Year	2017
Description	Journal: SSRN Electronic Journal We document how the impact of monetary surprises in the euro area and the US on financial markets has changed since 1999. We use a definition of monetary policy surprises that singles out movements in the long end of the yield curve, rather than those that change nearby futures on the central bank reference rates. By focusing only on this component of monetary policy our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect shifts in sovereign spreads and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.
Related Links	http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1102/en_tema_1102.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2947014
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2947014
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-02-23
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal History and Philosophy of Science Euro Area Policy Surprises Monetary Policy
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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