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dc.contributor.authorIelpo, Florian
dc.contributor.authorBrière, Marie
dc.date.accessioned2012-05-31T09:07:32Z
dc.date.available2012-05-31T09:07:32Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9305
dc.language.isoenen
dc.subjectAnnouncementsen
dc.subjectnewsen
dc.subjectswap ratesen
dc.subjectyield curveen
dc.subjectinterest ratesen
dc.subjecteuro areaen
dc.subject.ddc339en
dc.subject.classificationjelE43en
dc.subject.classificationjelE52en
dc.subject.classificationjelF42en
dc.titleYield Curve Reaction to Macroeconomic News in Europe : Disentangling the US Influenceen
dc.typeChapitre d'ouvrage
dc.contributor.editoruniversityotherCentre d’Economie de la Sorbonne;France
dc.description.abstractenThis 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 and US rates, we propose to use the factors of the US yield curve to disentangle the daily variations in euro rates stemming from US influence and the changes resulting from European news. We highlight the importance of taking the influence of the US yield curve into account. For some of the major announcements, results differ appreciably, depending on whether this influence is integrated. We then investigate the shape of the euro term structure reaction to a range of news types, measuring which are the most important economic releases for euro financial markets. In most instances, the curve’s reaction is hump shaped, with the most significant reactions concentrated in intermediate maturities. Finally, we provide a hierarchy of the economic figures that have the strongest impact on each maturity, and show the differences in important news for the short and long end of the curve.en
dc.identifier.citationpages111-135en
dc.relation.ispartoftitleConsequences of the European monetary integration on financial systemsen
dc.relation.ispartofeditorStavárek, Daniel
dc.relation.ispartofeditorPolouček, Stanislav
dc.relation.ispartofpublnameCambridge Scholarsen
dc.relation.ispartofpublcityNewcastleen
dc.relation.ispartofdate2009
dc.relation.ispartofpages268en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelMacroéconomieen
dc.relation.ispartofisbn978-1-443-80068-6en


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