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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&apos;s Governing Council (GC) using high frequency data between July 2008 and January 2014. Constructing a rich dataset of GC members&apos; 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&apos; 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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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