What matters when? The impact of ECB communication on financial market expectations
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In: Applied Economics, Vol. 43, No. 28, 01.11.2011, p. 4289-4309.
Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - What matters when? The impact of ECB communication on financial market expectations
AU - Lamla, Michael J.
AU - Lein, Sarah M.
PY - 2011/11/1
Y1 - 2011/11/1
N2 - This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.
AB - This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.
KW - Economics
UR - http://www.scopus.com/inward/record.url?scp=84860395684&partnerID=8YFLogxK
U2 - 10.1080/00036846.2010.491452
DO - 10.1080/00036846.2010.491452
M3 - Journal articles
AN - SCOPUS:84860395684
VL - 43
SP - 4289
EP - 4309
JO - Applied Economics
JF - Applied Economics
SN - 0003-6846
IS - 28
ER -