ECB communication and its impact on financial markets

Klodiana Istrefi, Florens Odendahl and Giulia Sestieri

No 19242, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper introduces the Euro Area Communication Event-Study Database (EACED), a new dataset tracking intraday financial market movements around 304 ECB Governing Council meetings (ECBGC) and 5,100 inter-meeting communication (IMC) events by GC members, primarily in the form of speeches and interviews. We document that IMC events are associated with significant market movements often comparable to, or larger than, those following ECB policy announcements, particularly for longer maturity yields. Importantly, these effects are not limited to communication from the ECB President but also from other Governing Council members. Like ECBGC announcements, IMC events convey multidimensional information: three structurally identified factors explain a large share of the yield curve movements around IMC surprises. Finally, we show that IMC events provide relevant information for identifying the effects of monetary policy shocks on euro area output and inflation in a Bayesian Vector Autoregression model.

Keywords: Monetary policy; Ecb; Financial markets; Euro area (search for similar items in EconPapers)
JEL-codes: E03 E50 E61 (search for similar items in EconPapers)
Date: 2024-07
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Related works:
Working Paper: ECB communication and its impact on financial markets (2024)
Working Paper: ECB Communication and its Impact on Financial Markets (2022)
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