Discussion paper

DP13759 Measuring Euro Area Monetary Policy

We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event- Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event.


Altavilla, C, L Brugnolini, R Gürkaynak, R Motto and G Ragusa (2019), ‘DP13759 Measuring Euro Area Monetary Policy‘, CEPR Discussion Paper No. 13759. CEPR Press, Paris & London. https://cepr.org/publications/dp13759