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

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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.
Original languageEnglish
JournalJournal of Money, Credit and Banking
Volume42
Issue number7
Pages (from-to)1391-1417
Number of pages27
ISSN0022-2879
DOIs
Publication statusPublished - 10.2010
Externally publishedYes

    Research areas

  • Economics - Central bank communication, exchange rate, expectations, long memory Garch prozesses, monetary policy announcements, taylor rules

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