Non-standard monetary policy and ECB communication: Confusion or predictability?

Quentin Bro de Comères, Cornel Oros, Marc Pourroy, Léonore Raguideau and Anne-Gaël Vaubourg

Journal of International Money and Finance, 2025, vol. 151, issue C

Abstract: Using a dataset of 273 press releases and introductory statements over the period 1999-2020, we investigate how the communication of the European Central Bank (ECB) influences the ability of market participants to predict its monetary decisions. We build four new indicators of communication intensity and frequency and measure predictability by decomposing the surprises on the variation of asset prices around monetary announcements into a “target” – which captures the standard dimension of monetary policy surprises – a “path” factor – which corresponds to the forward guidance dimension of monetary surprises – and a QE factor – which accounts for their quantitative easing dimension. Our findings reveal that the intensity and frequency of ECB communication reduce the surprise of market participants regarding non-standard dimensions of monetary policy. Moreover, the improvement of the predictability of monetary decisions is not achieved at the expense of greater confusion over standard monetary decisions. Additionally, the reduction in surprises operates through the information channel, by which monetary policy announcements transfer information about economic fundamentals from the central bank to market participants.

Keywords: Monetary policy; Communication; Transparency; Predictability; Surprise; Factor decomposition (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560624002237
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:151:y:2025:i:c:s0261560624002237

DOI: 10.1016/j.jimonfin.2024.103236

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().