High frequency data are an essential input to study the effects of monetary policy communication. This column introduces a new database, the Euro Area Monetary Policy Event-Study Database, which makes available intraday asset price changes around ECB policy announcements for a wide range of assets. The high resolution of the intraday data allows for the measurement of asset price changes separately for the press release and press conference windows.
Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Roberto Motto, Giuseppe Ragusa, 03 October 2019
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