Lamla, Michael J.
Rupprecht Sarah M.
- Working Paper
Rights / licenseIn Copyright - Non-Commercial Use Permitted
This paper analyzes European ﬁnancial markets’ comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantiﬁes the contents of the ECB’s introductory statements, we ﬁnd that communication aﬀects the term structure of interest rates in the medium run over a horizon between ﬁve months to one year. Our results suggest that ﬁnancial market agents expect the ECB to prepare them for a change in interest rates well in advance. However, judging upon the dynamics of the response, the exact timing of a decision is less foreseeable. Disentangling the eﬀects of ECB statements on prices, the real and the monetary sector, we provide evidence that especially the ECB’s interpretation and forecasts of price developments represent important news to ﬁnancial market agents Show more
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Journal / seriesKOF Working Papers
PublisherKOF Swiss Economic Institute, ETH Zurich
SubjectECB; KOMMUNIKATIONSMANAGEMENT (UNTERNEHMENSFUEHRUNG); Yield Curve; Term Structure of Interest Rates; Expectations; COMMUNICATION MANAGEMENT (BUSINESS MANAGEMENT); FINANCIAL MARKETS; NATIONAL BANKS + CENTRAL BANKS; Central Bank Communication; FINANZMÄRKTE; NATIONALBANKEN + ZENTRALBANKEN
Organisational unit03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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