C. Altavilla, L. Brugnolini, R. S. Gürkaynak, R. Motto, and G. Ragusa, “Measuring euro area monetary policy.” Journal of Monetary Economics, 108, 162-179.


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We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event.

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I teach economics at the University of Pisa (Department of Economics and Management).


Department of Economics and Management
University of Pisa
Via Cosimo Ridolfi 10
56124 Pisa (PI)


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