Delphic and Odyssean monetary policy shocks: News from the euro-area

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We study the impact of the monetary policy announcements on market-based expectations of interest and of inflation rates. We find that the impact of the ECB announcements of the future monetary policy stance on inflation expectations has changed over the last fifteen years. In particular, while in the central part of our sample these announcements were read as a signal about the economic conditions (i.e. Delphic component), in latest episodes they have been interpreted as a commitment device on the future monetary policy stance (i.e. Odyssean component). We propose an approach to separately identify the Delphic and Odyssean component of the ECB monetary policy announcements and we measure their dynamic impact on the economy.