The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

Authors

We investigate the impact of the European Central Bank's monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high frequency. Based on the method of Content Analysis, we construct communication indicators for the introductory statement and find that communication with respect to future price developments is most relevant. In response to statements about increasing risks to price stability the EUR appreciates on impact. To the contrary, communication about economic activity and monetary aggregates does not generate significant exchange rate reactions.
OriginalspracheEnglisch
ZeitschriftJournal of Money, Credit and Banking
Jahrgang42
Ausgabenummer7
Seiten (von - bis)1391-1417
Anzahl der Seiten27
ISSN0022-2879
DOIs
PublikationsstatusErschienen - 10.2010
Extern publiziertJa

DOI

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Forschende

  1. Nicole Bösch

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