English, Article, Journal or magazine article edition: Yield curve reaction to macroeconomic news in Europe : disentangling the US influence Marie Brière; Florian Ielpo

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Bookmark: http://trove.nla.gov.au/version/111227
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Yield curve reaction to macroeconomic news in Europe : disentangling the US influence
Author
  • Marie Brière
  • Florian Ielpo
Physical Description
  • preprint
Notes
  • This paper analyses the response of the Euro yield curve to macroeconomic and monetary policy announcements. We present a new methodology for estimating the reaction of the Euro swap curve to economic news, in a data-rich environment. Given the sharp degree of interdependence between Euro rates and US rates, we propose to use the factors of the US yield curve to disentangle the daily variation in Euro rates stemming from US influence and the variation resulting from European news. We highlight the importance of taking the US yield curve influence into account and investigate the shape of the Euro term structure reaction to a range of news types. We find that the impact of economic announcements on the yield curve shows different patterns according to the news and we provide a hierarchy of the economic figures that have the strongest impact on the different maturities.
  • announcements, news, swap rates, yield curve, interest rates, Euro area.
  • RePEc:sol:wpaper:07-038
Language
  • English
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