Sensitivity of the Euro OIS Term Structure to ECB Policy Rate Surprises

CEIS Working Paper No. 619 15 Pages Posted: 12 Jan 2026 University of Rome Tor Vergata - Faculty of Economics Sapienza University of Rome Date Written: January 04, 2026 We analyze the sensitivity of the euro-area yield curve to revisions in market expectations of the ECB policy rate. Using changes in the maintenance-period forward OIS as a market-based measure of policy-rate surprises, we document that yield responses vary systematically across maturities. To interpret these patterns, we adopt a short-rate model with stochastic jumps occurring only at scheduled ECB meeting dates and derive closed-form expressions for the conditional sensitivity of yields to changes in the expected jump size. We compare the model-implied term-structure responses with realized yield changes on days of large revisions in expectations. The model reproduces the cross-sectional shape and magnitude of observed sensitivities, especially the pronounced peak at intermediate maturities, underscoring the importance of incorporating scheduled jump times when modeling interest-rate dynamics. Keywords: OIS, €STR, ECB, monetary policy surprises, scheduled jumps, term-structure sensitivity JEL Classification: E43, E52, G12 Suggested Citation: Suggested Citation Via Columbia n.2 Rome, rome 00100 Italy CEIS: Centre for Economic & International Studies Research Paper Series Subscribe to this free journal for more curated articles on this topic Social Entrepreneurship eJournal Subscribe to this fee journal for more curated articles on this topic