Brand, Claus; Buncic, Daniel; Turunen, Jarkko - In: Journal of the European Economic Association 8 (2010) 6, pp. 1266-1298
We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the European Central Bank, and study their impact on the yield curve. We show that communication may lead to...