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The impact of ECB monetary policy decisions and communication on the yield curve

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Figure

Figure 1: Graphical representation of the long, decision and communication time windows considered in the study
Figure 3: Extracted jump, timing, and path news. Shaded area indicates fortnightly meeting frequency, except for 30 August 2001 meeting where there were 4 weeks between consecutive meetings.
Figure 5: Money market rates as of 13:35, 14:05, 15:50 hours on 10 May 2001.
Figure 8: Impact of news from the rotated factors from principal component analysis on yields at matu- matu-rities τ = 60, 70, 80,
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