What matters when? The impact of ECB communication on financial market expectations

Michael Lamla and Sarah Lein

Applied Economics, 2011, vol. 43, issue 28, 4289-4309

Abstract: This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.

Date: 2011
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DOI: 10.1080/00036846.2010.491452

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