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<p>This paper examines the sensitivity of euro area (EA) interest rates and their components—expected short-term rate and the term premium—to macroeconomic surprises between 2000 and 2024. It also investigates how this sensitivity depends on uncertainty regarding future policy rates. We show that short-term rates are markedly less sensitive than longer tenors. The ECB’s forward guidance compressed responses, especially at the short end of the yield curve, with term premia driving almost all long end movements. Since the adoption of a data-dependent and meeting-by-meeting approach, sensitivity increased markedly. EA rates have become highly sensitive to US surprises, indicating significant spillovers. Monetary policy uncertainty amplifies this sensitivity, particularly to US surprises and for the expected short-term rate component.</p>

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Macroeconomic surprises and financial market reactions: insights into euro area interest rates

  • 期刊论文

  • 发表日期：

    2026年7月18日

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  • Riccardo Poli,
  • Giulio Carlo Venturi

摘要

This paper examines the sensitivity of euro area (EA) interest rates and their components—expected short-term rate and the term premium—to macroeconomic surprises between 2000 and 2024. It also investigates how this sensitivity depends on uncertainty regarding future policy rates. We show that short-term rates are markedly less sensitive than longer tenors. The ECB’s forward guidance compressed responses, especially at the short end of the yield curve, with term premia driving almost all long end movements. Since the adoption of a data-dependent and meeting-by-meeting approach, sensitivity increased markedly. EA rates have become highly sensitive to US surprises, indicating significant spillovers. Monetary policy uncertainty amplifies this sensitivity, particularly to US surprises and for the expected short-term rate component.