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Measuring Euro Area Monetary Policy: a Focus on Sovereign Spreads

Van Der Elst, Jérôme
(2023)

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VANDERELST_46041600_2023.pdf
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VANDERELST_46041600_2023_APPENDIX1.pdf
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VANDERELST_46041600_2023_APPENDIX2.zip
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Details

Supervisors
Monti, Francesca
Faculty
Faculté des sciences économiques, sociales, politiques et de communication
Degree label
Master [60] en sciences économiques, orientation générale
Abstract
This master’s thesis delves into the intricate interplay between European Central Bank (ECB) policy decisions, market reactions, and economic outcomes within the realm of monetary policy analysis. By harnessing the high frequency Euro Area Monetary Policy Event-Study Database (EA-MPD), it builds upon prior research endeavors to translate ECB policy communication onto the yield curve. It extends its focus beyond 2018, encompassing pivotal events such as the pandemic and energy crises. Moreover, the work challenges the prevalent reliance on risk-free Overnight Index Swap rates for assessing ECB policies. Instead, it underscores the significance of sovereign spreads, particularly in the context of the European debt crisis, by introducing an new ’Save-The-Euro’ factor. This factor introduces an additional structural shock that refines the understanding of evolving monetary strategies. Within this framework, the influence of the ECB’s policy communication on various asset prices is investigated. By doing so, it aims to provide insights into the broader impact of the ECB’s decisions on the financial landscape.