Communication of ECB Governing Council members: do they speak in one voice?

Linas Jurkšas () and Rokas Kaminskas
Additional contact information
Linas Jurkšas: Bank of Lithuania, ISM University of Management and Economics
Rokas Kaminskas: Bank of Lithuania, ISM University of Management and Economics

No 39, Bank of Lithuania Discussion Paper Series from Bank of Lithuania

Abstract: The goal of this paper is to determine the heterogeneity in communication among the ECB Governing Council members, employing the GPT language model, and assess its impact on financial markets with high-frequency data since 2014. Our findings uncover trends in sentiments and topics in line with economic developments and similar studies. We highlight a marked divergence between hawkish and dovish members. Using regression analysis, we demonstrate that the communication from the Governing Council members significantly influences various euro area asset classes, particularly Italian sovereign bonds. These effects are consistently significant across different periods. Our study also highlights specific topics that exert a more pronounced influence on market dynamics, notably unconventional monetary policy since 2014 and, more recently, interest rate discussions. Hawkish communication is observed to have a more substantial effect on sovereign bond yields. Furthermore, speeches by Executive Board members and the Governors of Germany, France and Austria are found to have the most significant overall impact on euro area markets.

Keywords: ECB; monetary policy; communication; sentiment analysis; euro area; financial markets. (search for similar items in EconPapers)
JEL-codes: C80 E43 E44 E58 G14 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2024-10-22
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.lb.lt/uploads/publications/docs/47969_ ... c611964d2fd65292.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

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:lie:dpaper:39

Access Statistics for this paper

More papers in Bank of Lithuania Discussion Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Aurelija Proskute ().