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Andrea Vedolin, Boston University Print
Monday, 19 November 2018, 16:30 - 18:00

Joint with ULB, KULeuven, UCLouvain and NBB

 Andrea Vedolin, Boston University

Central Bank Communication and the Yield Curve

Abstract : 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. 

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