The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
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The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication. / Conrad, Christian; Lamla, Michael J.
in: Journal of Money, Credit and Banking, Jahrgang 42, Nr. 7, 10.2010, S. 1391-1417.Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
AU - Conrad, Christian
AU - Lamla, Michael J.
PY - 2010/10
Y1 - 2010/10
N2 - 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.
AB - 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.
KW - Economics
KW - Central bank communication
KW - exchange rate
KW - expectations
KW - long memory Garch prozesses
KW - monetary policy announcements
KW - taylor rules
U2 - 10.1111/j.1538-4616.2010.00346.x
DO - 10.1111/j.1538-4616.2010.00346.x
M3 - Journal articles
VL - 42
SP - 1391
EP - 1417
JO - Journal of Money, Credit and Banking
JF - Journal of Money, Credit and Banking
SN - 0022-2879
IS - 7
ER -