Euro Area Market Reactions To The Monetary Developments Press Release

Using intra-day data, the authors assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, they estimate a relation between the "News" and "Surprise" in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. They find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release.