Shifts in ECB Communication: A Textual Analysis of the Press Conference

Justyna Klejdysz and Robin L. Lumsdaine
Additional contact information
Justyna Klejdysz: Ludwig Maximilian University of Munich; Ifo Institute
Robin L. Lumsdaine: Kogod School of Business, American University; Econometric Institute, Erasmus University Rotterdam; National Bureau of Economic Research; Center for Financial Stability; Tinbergen Institute

International Journal of Central Banking, 2023, vol. 19, issue 2, 473-542

Abstract: This paper investigates how European Central Bank (ECB) communication, made during the press conference, affects stock market volatility. First, the ECB press conferences are dissected into topics using Latent Dirichlet Allocation (LDA). Then turning points in ECB communication are captured using the estimated topic probabilities. The proposed approach does not rely on subjective interpretation of topical content. The paper finds that (i) the topics reveal communication patterns that match the ECB monetary policy stance, (ii) the content of the ECB press conference is informative for the market, and (iii) market uncertainty increases when the ECB switches to a different communication regime.

JEL-codes: C54 C58 E58 E65 G10 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.ijcb.org/journal/ijcb23q2a9.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb23q2a9.htm (text/html)

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:ijc:ijcjou:y:2023:q:2:a:9

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().