ECB communication and its impact on financial markets

Klodiana Istrefi, Florens Odendahl and Giulia Sestieri
Additional contact information
Florens Odendahl: Banco de España

No 2431, Working Papers from Banco de España

Abstract: This paper presents the Euro Area Communication Event-Study Database (EA-CED), a new dataset that tracks financial market movements around ECB Governing Council meetings (GC) and inter-meeting communication (IMC). Covering the period from 1999 to 2024, the EA-CED contains intraday changes in euro area financial variables around the time of 304 ECB GC policy announcements and 4,400 IMC events, consisting mainly of speeches and interviews. We document several new empirical findings on the impact of IMC on financial markets. First, we show that many IMC events are associated with significant market movements, often of similar or larger magnitude than those associated with ECB policy announcements, particularly for yields at longer maturities. Significant effects are not limited to communication from the ECB’s President but extend to other members of the Governing Council. Second, the importance of IMC varies over time, peaking around tightening cycles, particularly in 2022-2023. Third, like ECB GC announcements, IMC events convey multi-dimensional information and lead to surprises regarding the path of monetary policy and the state of the economy.

Keywords: monetary policy; ECB; communication; financial markets; euro area (search for similar items in EconPapers)
JEL-codes: E50 E52 E58 E61 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2024-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-fmk and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bde.es/f/webbe/SES/Secciones/Publicaci ... 24/Files/dt2431e.pdf First version, October 2024 (application/pdf)

Related works:
Working Paper: ECB communication and its impact on financial markets (2024)
Working Paper: ECB Communication and its Impact on Financial Markets (2022)
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:bde:wpaper:2431

DOI: 10.53479/37792

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().