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Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility

Adrian Cantemir Călin
Authors registered in the RePEc Author Service: Adrian Cantemir Calin

Romanian Economic Journal, 2015, vol. 18, issue 56, 3-18

Abstract: During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE). Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.

Keywords: monetary policy; central banks; volatility; exchange rate; official speeches (search for similar items in EconPapers)
JEL-codes: C5 G14 G21 (search for similar items in EconPapers)
Date: 2015
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