Euro area market reactions to the monetary developments press release

Using intra-day data, we 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, we estimate a relation between the “news” or “surprise” in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We 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. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals. JEL Classification: E43, E44, E52, E58high-frequency data, macroeconomic announcements, money growth

Euro area market reactions to the monetary developments press release

Using intra-day data, we 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, we estimate a relation between the “news” or “surprise” in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We 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. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals

Une évaluation structurelle du ratio de sacrifice dans la zone euro

[A structural evaluation of the sacrifice ratio in the euro area]. In this paper, we seek to evaluate the sacrifice ratio of the euro area using a small DSGE model where prices and wages are sticky. We estimate model's parameters so as to minimize the distance between VAR-based and model-based covariances of a set of variables. The estimated value of the sacrifice ratio reaches 1.30%. In a second step, we proceed to a set of conterfactual exercises in order to highlight the link between the sacrifice ratio and the degree of prices and wages stickiness. We obtain that a decrease of prices stickiness does not necessary result in a decrease of the sacrifice ratio. In addition, the sacrifice ratio rises with the degree of wage stickiness.Dans cet article, nous évaluons le ratio de sacrifice de la zone euro à partir d’une maquette structurelle de petite taille. Cette dernière incorpore des rigidités nominales de prix et de salaire. Nous estimons les paramètres du modèle structurel de façon à minimiser la distance entre les covariances empiriques et les covariances théoriques d’un ensemble de variables. La valeur estimée du ratio de sacrifice est proche de 1,30 %. Dans une seconde étape, nous procédons à une série d’exercices contrefactuels qui se propose d’expliquer l’impact d’une modification du degré de rigidité des prix ou des salaires sur la valeur du ratio de sacrifice. Nous obtenons qu’une baisse du degré de rigidité nominale des prix ne se traduit pas nécessairement par une baisse du ratio de sacrifice et que le ratio de sacrifice croît avec le degré de rigidité nominale des salaires