Introduction 2 Some institutional features of ECB monetary policy announcements and communication 3 Extracting news from the money market yield curve 3.1 Principal components 3.2 Recursive regressions 3.3 Separate decision and communication windows 3.4 Jobless claims 4 Evolution of monetary policy news over time 4.1 Main results 4.2 Interpreting specific events 5 Impact of monetary policy news on longer-term yields 6 Conclusions
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Brand et al. (2010) studied this question.
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