Market Reading of Central Bankers Words. A High-Frequency Evidence

Pavel Gertler and Roman Horvath

No WP 2/2017, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper examines the financial market impact of intermeeting communication of the members of the European Central Bank’s Governing Council (GC) using high frequency data in the period 2008–2013. Constructing a rich dataset of GC members’ public statements (speeches, conference discussions and media interviews) between monetary policy meetings allows us to investigate a detailed pattern of market responses to the ad-hoc communication of central bankers. Using least squares and quantile regressions, we document the impact of policymakers’ public statements on interest rates and the stock market with very little or no impact on exchange rates. In general, we find little evidence that the timing, sequencing or content of communication matters in immediate response. On the contrary, the results suggest that the market concentrates on the communication of key members of the committee.

Keywords: Central bank; communication; European Central Bank (search for similar items in EconPapers)
JEL-codes: C1 E5 G21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2017-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1043

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