ECB Communication: What Is It Telling Us?

Rokas Kaminskas (), Modestas Stukas () and Linas Jurksas ()
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Rokas Kaminskas: Bank of Lithuania, ISM University of Management and Economics
Modestas Stukas: Bank of Lithuania
Linas Jurksas: Bank of Lithuania, Vilnius University

No 25, Bank of Lithuania Discussion Paper Series from Bank of Lithuania

Abstract: This paper examines changing ECB communication and how it has impacted euro area financial markets over the past two decades. We applied a combination of topic modelling and sentiment analysis for over 2000 public ECB Executive Board member speeches, as well as over 200 ECB press conferences. Topic analysis revealed that the ECB’s main focus has shifted from strategy and objectives, at the inception of the euro area, to various policy actions during the global financial crisis and, more recently, to instruments and economic developments. Sentiment analysis showed an expected trend of a more negative communication tone during periods of turmoil and a gradual shift to a more dovish monetary policy tone over time. Regression analysis revealed that sentiment indices had the expected impact on financial market indicators, while press conferences showed substantially stronger effects than speeches.

Keywords: ECB; speeches; press conferences; text analysis; sentiments; financial markets (search for similar items in EconPapers)
JEL-codes: C80 E43 E44 E58 G12 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2021-05-11
New Economics Papers: this item is included in nep-big, nep-cba, nep-eec, nep-mac and nep-mon
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