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, Vol. 42, No. 7, 10.2010, p. 1391-1417.

Research output: Journal contributionsJournal articlesResearchpeer-review

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@article{f5099142ce79495ab5f784fff5842e4e,
title = "The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication",
abstract = "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.",
keywords = "Economics, Central bank communication, exchange rate, expectations, long memory Garch prozesses, monetary policy announcements, taylor rules",
author = "Christian Conrad and Lamla, {Michael J.}",
year = "2010",
month = oct,
doi = "10.1111/j.1538-4616.2010.00346.x",
language = "English",
volume = "42",
pages = "1391--1417",
journal = "Journal of Money, Credit and Banking",
issn = "0022-2879",
publisher = "John Wiley & Sons Inc.",
number = "7",

}

RIS

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 -