Department of Economics

Lund University School of Economics and Management

Seminar in Financial Economics - Andrea Vedolin


Title: “Central Bank Communication and the Yield Curve”

Central Bank Communication and the Yield Curve

Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a homogeneous effect across Euro-area sovereign bond yields before the European debt crisis, it drove a wedge between peripheral and core yields afterwards. Guided by the predictions of a theoretical model in which central bank communication reveals information about the state of the economy, we empirically link the periphery-core wedge to break-up and credit risk premia, and show that equity response to shocks can identify the strength of this risk premium channel.

11 December 2018


Ideon Alfa1:4013
Scheelevägen 15B
223 63 Lund


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