Central Bank Communication and Financial Market Comovements in the Euro Area
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10398852" target="_blank" >RIV/00216208:11230/20:10398852 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ziO_nwd88f" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ziO_nwd88f</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11079-019-09561-7" target="_blank" >10.1007/s11079-019-09561-7</a>
Alternative languages
Result language
angličtina
Original language name
Central Bank Communication and Financial Market Comovements in the Euro Area
Original language description
We examine whether unscheduled communication of members of the European Central Bank's (ECB) Governing Council affects financial market comovements. To assess comovements, we employ well-defined measures of stock market and government bond yield coexceedances, i.e., the measures of whether markets jointly decrease or increase and by how much. We use the daily data from 2008 to 2014 for the four largest euro area countries, Germany, France, Italy and Spain, in a quantile regression framework and control for persistence in coexceedances and a comprehensive set of relevant factors capturing returns and volatility in various segments of financial markets. We find that central bank communication often contributes to greater coexceedances but only when there are extreme events in the financial markets. The results also suggest that markets perceive the ECB's communication as a euro area-wide shock, but propagation of this shock depends on the financial (in)stability of individual euro area countries.
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/GA19-15650S" target="_blank" >GA19-15650S: Central Bank Governance: Transparency and Communication after the Crisis</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Open Economies Review
ISSN
0923-7992
e-ISSN
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Volume of the periodical
31
Issue of the periodical within the volume
2
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
16
Pages from-to
257-272
UT code for WoS article
000492240300001
EID of the result in the Scopus database
2-s2.0-85076454330