Central bank communication and financial markets: New high-frequency evidence
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10374008" target="_blank" >RIV/00216208:11230/18:10374008 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.jfs.2018.03.002" target="_blank" >https://doi.org/10.1016/j.jfs.2018.03.002</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jfs.2018.03.002" target="_blank" >10.1016/j.jfs.2018.03.002</a>
Alternative languages
Result language
angličtina
Original language name
Central bank communication and financial markets: New high-frequency evidence
Original language description
This paper examines the financial market impact of intermeeting communication of the members of the European Central Bank's Governing Council (GC) using high frequency data between July 2008 and January 2014. Constructing a rich dataset of GC members' public statements (speeches, conference discussions and media interviews) between monetary policy meetings allows us to investigate a detailed pattern of market responses to the ad-hoc communication of central bankers. Using least squares and quantile regressions, we document the impact of policymakers' public statements on interest rates and the stock market with very little or no impact on exchange rates. In general, we find little evidence that the timing, sequencing or content of communication matters in immediate response. On the contrary, the results suggest that the market concentrates on the communication of key members of the committee.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Financial Stability
ISSN
1572-3089
e-ISSN
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Volume of the periodical
36
Issue of the periodical within the volume
June
Country of publishing house
US - UNITED STATES
Number of pages
10
Pages from-to
336-345
UT code for WoS article
000434490200023
EID of the result in the Scopus database
2-s2.0-85044159756